| Summary: | 碩士 === 國立臺北大學 === 企業管理學系 === 103 === This paper examines performances of mutual funds. Instead of using index established in CAPM theory to evaluate performances of mutual funds, this research uses the nonparametric approach Data Envelopment Analysis (DEA) to measure the efficiency of funds and discuss the feasibility of this method. We separate the input into endogenous variables and exogenous variable. The former includes scale, turnover rate, and fund age. The latter includes characteristics of fund manager such as tenure, degree of MBA, experiences, and foreign academic. Finally, we take traditional indexes, such as Sharpe, Jensen, and Treynor, as our outputs and use Kendall Tau b test the correlation between efficiency score and ROI of fund. The empirical results revealing the efficiency score of funds, no matter in the model of endogenous or exogenous, are all positively correlated with ROI of funds. According to the empirical results, we can use the efficiency score to evaluate fund performance.
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