The Efficiency of Mutual Fund in AEC

Abstract

The purpose of this research is to study the efficiency and input slack variable of the mutual funds and determines the efficiency of mutual funds in the Asean Economic Community. There are 377 Malaysian Mutual Funds, 107 Singapore Mutual Funds, and 471 Thai Mutual Funds, which has operated from 2011 to 2015 and only domestically registered for sale, have been selected as samples. Morningstar Direct Database has been used as base information for this study, by having the Data Envelopment Analysis (DEA) as the methodology. Input variable which are (1) risk of return (2) ratio of fund expenditures to net assets, and (3) size of mutual fund and the input and output variable which is the return of mutual fund are taken into account in measuring the performance of mutual funds in the Southeast Asean Economic Community. The results of the study show that mutual funds in Singapore are most efficient, while mutual funds from Malaysia and Thailand have lower level of performance each year. The study also points out the same pattern between types of mutual fund and the efficiency of the mutual funds in each country.  Considering the types of mutual funds in each country, it is found that the efficiency performance of money market mutual funds is among the highest, followed by fixed income fund, Balanced fund and Equity fund, respectively. Also, the study reveals that the input slack variable: (1) risk of mutual fund return, and (2) ratio of expenditure to net assets lead to the underperformance in Thai mutual funds.