Benchmarking of Indian mutual funds is mostly based on ratio approach involving methodologies suggested by Sharpe and Treynor. The present paper employs Bootstrap Data Envelopment Analysis (DEA) for evaluating the performance of a few sectoral mutual fund schemes for the second half of 2010. The study uses input-oriented, output-oriented and graph hyperbolic measures of efficiency for the purpose of bootstrap DEA analysis. The computation is made in “R”.

Mutual fund performance in financial markets is subject to market risks. Hence, performance benchmarking of mutual funds requires construction of a return-risk framework which facilitates evaluation of fund performance. Traditionally, such evaluation was done in terms of excess return to risk/volatility ratios. However, the presence of multiple reward and risk or volatility indicators made the application of simple ratios a difficult proposition. In view of this, the present study benchmarks the performance of 16 mutual fund schemes using a nonparametric methodology.

Applied Finance Journal, Endogenous, DEA Portfolio Efficiency Index (DPEI), Portfolio Benchmarking, Stochastic Dominance Criteria, Benchmarking, Mutual Funds, Data Envelopment Analysis (DEA), Indian Evidence.