Performance Evaluation of Selected Taiwanese Mutual Funds Under Multi-Attribute Decision Analysis Approach

• Main Authors: Miao-Chen Chiang, 江妙真
• Other Authors: 林志娟
• Format: Others
• Language: en_US
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/12998360899534258690

碩士 === 淡江大學 === 統計學系碩士班 === 94 === The purpose of this study is to evaluate the performance of mutual funds. "Treynor Ratio", "Sharpe Ratio", "Jensen''s Alpha" and "Information Ratio" are four commonly used indices for evaluating the competing mutual funds. However, it is not clear which measure is the most robust. This study has a different focus not only on investigating the four criteria separately but also combining all the indices at the same time in making a final ranking of the mutual funds. This study found that Jensen''s Alpha outperforms the rest indices of both uni-criterion and multi-criteria. Although multi-criteria indices are not noticeably better than uni-criteria indices, the index using CRITIC weight method under City block distance measure is recommended if the correlation between the rankings is concerned. Even though the new indices are not noticeably more accurate than uni-criterion indices in ranking the mutual funds. But a good and informative index should be able to chart aggregate changes in market levels. Those uni-criterion indices only justify the risk or a mutual fund manager''s ability partially. Multi-criteria indices are another choices which can be used to evaluate the mutual funds and can take all the criteria into consideration simultaneously. That''s the main contribution of this research.