Mutual funds performance evaluation based on endogenous benchmarks

doi:10.1016/j.eswa.2010.09.022

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	Mutual funds performance evaluation based on endogenous benchmarks
	Zhao, Xiujuan 2; Wang, Shouyang3 ; Lai, Kin Keung 1
	2011-04-01
发表期刊	EXPERT SYSTEMS WITH APPLICATIONS
ISSN	0957-4174
卷号	38 期号:4 页码:3663-3670
摘要	This paper proposes two quadratic-constrained DEA models for evaluation of mutual funds performance, from a perspective of evaluation based on endogenous benchmarks. In comparison to previous studies, this paper decomposes two vital factors for mutual funds performance, i.e. risk and return, in order to define mutual funds' endogenous benchmarks and give insights and suggestions for managements. Of the two quadratic-constrained DEA models, one is a partly controllable quadratic-constrained programming. The approach is illustrated by a sample of twenty-five actual mutual funds operating in the Chinese market. It identifies the root reasons of inefficiency and ways for improving performance. The results show that although the market environment in year 2006 was much better than that in 2005, average efficiency score declines in year 2006 due to relaxing of system risk control. The majority of mutual funds do not show persistence in efficiency ranking. The most important conclusion is that the ranking of mutual funds in China depends mostly on system risk control. (C) 2010 Elsevier Ltd. All rights reserved.
关键词	Mutual funds Data envelopment analysis (DEA) Performance evaluation Efficiency Persistence
DOI	10.1016/j.eswa.2010.09.022
语种	英语
资助项目	National Natural Science Foundation of China[70801006] ; [9050208]
WOS研究方向	Computer Science ; Engineering ; Operations Research & Management Science
WOS类目	Computer Science, Artificial Intelligence ; Engineering, Electrical & Electronic ; Operations Research & Management Science
WOS记录号	WOS:000286904600083
出版者	PERGAMON-ELSEVIER SCIENCE LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/13104
专题	系统科学研究所
通讯作者	Lai, Kin Keung
作者单位	1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Beijing Univ Posts & Telecommun, Sch Econ & Management, Beijing 100876, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Zhao, Xiujuan,Wang, Shouyang,Lai, Kin Keung. Mutual funds performance evaluation based on endogenous benchmarks[J]. EXPERT SYSTEMS WITH APPLICATIONS,2011,38(4):3663-3670.
APA	Zhao, Xiujuan,Wang, Shouyang,&Lai, Kin Keung.(2011).Mutual funds performance evaluation based on endogenous benchmarks.EXPERT SYSTEMS WITH APPLICATIONS,38(4),3663-3670.
MLA	Zhao, Xiujuan,et al."Mutual funds performance evaluation based on endogenous benchmarks".EXPERT SYSTEMS WITH APPLICATIONS 38.4(2011):3663-3670.