A dematel-topsis-wings approach to the classification of multimarket investment funds

This paper analyzes the performance of 20 multimarket investment funds in the Brazilian market from May/2015 to April/2017 in order to categorize them into 4 performance levels. The cumulative rate and the funds' volatility are calculated in 2 periods among the total periods studied, in order t...

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Bibliographic Details
Published inIndependent Journal of Management & Production Vol. 9; no. 4; pp. 1203 - 1234
Main Authors Sallum, Frederico Silva Valentim, Gomes, Luiz Flavio Autran Monteiro, Machado, Maria Augusta Soares
Format Journal Article
LanguageEnglish
Published Sao Paulo Independent Journal of Management & Production, I J M & P 01.10.2018
Subjects
Classification
classification of investment funds
Data envelopment analysis
Decision making
DEMATEL method
Hedge funds
Income funds
Investments
Methods
Private equity
Securities markets
TOPSIS method
WINGS method
Brazil
Rio de Janeiro Brazil
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Summary:This paper analyzes the performance of 20 multimarket investment funds in the Brazilian market from May/2015 to April/2017 in order to categorize them into 4 performance levels. The cumulative rate and the funds' volatility are calculated in 2 periods among the total periods studied, in order to generate a mutual degree of influence among the funds of each group. Next, the WINGS method is applied. This method splits each group into 2 subgroups, generating the 4 levels of classification. The use of the methodology classified 5 funds in each subgroup. The data analysis compared the obtained classification with the classification established by the cumulative rate of the funds throughout the entire period and presented 4 ways to prioritize the decision for the funds ranked higher. These 4 ways of prioritizing the decision aim at assisting investors with different points of view.
ISSN:2236-269X
2236-269X
DOI:10.14807/ijmp.v9i4.822