Performance Evaluation of Domestic and Foreign Mutual Funds－ Metafrontier Approach

• Main Authors: Ko-i Hua, 花可依
• Other Authors: Yung-ho Chiu
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/38389313987514241346

碩士 === 東吳大學 === 經濟學系 === 100 === This research adopts Hybrid DEA and metafrontier method to evaluate mutual fund performance. We select 277 domestic funds and 642 offshore funds in the types of stock funds and balanced funds during 2007 - 2010.The input variables are expense ratio, loads ratio and year standard deviation. The output variables are the rate of return and Sharpe index. The empirical results are summarized as follows: from 2007 to 2010, the domestic mutual funds are much closer to meta-efficiency values of all funds because the average meta-technology ratio（MTR）of the domestic funds is higher than that of the foreign funds. In another aspect, the group efficiency values of the domestic and foreign mutual funds are higher than meta-efficiency values. This indicates that we may have a false estimation of the group frontier if the different technical standards are calculated their group efficiency values in the same category. Moreover, under the remarkable criterion of the nonparametric test results of α = 0.05 , the efficiency values of domestic funds and foreign funds are significantly different. Through this, we can estimate the values of the efficiency of the two groups are from different populations.