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Mutual funds performance evaluation based on endogenous benchmarks
Zhao, Xiujuan2; Wang, Shouyang3; Lai, Kin Keung1
AbstractThis 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.
KeywordMutual funds Data envelopment analysis (DEA) Performance evaluation Efficiency Persistence
Funding ProjectNational Natural Science Foundation of China[70801006] ; [9050208]
WOS Research AreaComputer Science ; Engineering ; Operations Research & Management Science
WOS SubjectComputer Science, Artificial Intelligence ; Engineering, Electrical & Electronic ; Operations Research & Management Science
WOS IDWOS:000286904600083
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Document Type期刊论文
Corresponding AuthorLai, Kin Keung
Affiliation1.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
Recommended Citation
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.
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