Mutual fund performance-SBM Super DEA Model

• Main Authors: Kai-fu Chen, 陳顗夫
• Other Authors: 邱永和
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/40376743096607868112

碩士 === 東吳大學 === 經濟學系 === 95 === This paper has main target to establish a new index for evaluating mutual fund performance. In Taiwan, people almost still use Sharpe, Jensen, and Treynor index to evaluating mutual fund performance. Unlike the traditional methods, this paper takes excess return of unit risk, cost, and mutual fund manager performance into consider, use data envelopment analysis (DEA) approach to evaluate the performance of 132 Taiwan stock mutual funds performance during 2001 to 2006. This paper use three outputs Sharpe, Jensen, and Treynor index, and four inputs expense ratio, loads, purchase and sales turnover. The empirical result show : 1. Mutual fund performance has persistence. 2. The rank of Mutual fund performance has consistence by using BCC and Super SBM two methods. 3. Mutual fund performance has economy of scale. 4. Mutual funds have better performance in bull market. 5. The new index has observably positive correlation with information ratio. This result means it can replace the traditional methods, become a new index for evaluating mutual fund performance. Key word：DEA, mutual fund performance, risk