Applying Data Envelopment Analysis and Decision Tree to Build up a Model for Mutual Fund Selection

• Main Authors: Jung-you Yu, 余忠祐
• Other Authors: Der-Chiang Li
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/23500022416592765369

碩士 === 國立成功大學 === 工業與資訊管理學系碩博士班 === 97 === The purpose of this research is to build up a model for mutual fund selection by combining Data Envelopment Analysis (DEA) and Decision Tree. It is expected to understand the suitability for combining these two operation on oversea mutual fund through experiment model study, and then to offer another simple decision rule to investor for holding combination on mutual fund. The range in this research is limited to four kinds of the overseas mutual fund. The data base for the fund performance evaluation index is acquired from Folion Financial Technology Co., Ltd., and net value of mutual fund is adopted from Taiwan Economic Journal Co., Ltd. The first step is to gain the efficiency of fund by DEA with Frontier Analyst. The later period is to build up a model of decision tree with WEKA software. The research finally proposes two models, including bull model and bear model varied with macroeconomic situation. The sample period is from June/2006 to Feb/2009. The sample is composed of training data and test data. The train data can be built up the model, and the test data can be used to confirm the accuracy of model. This research suggests that investor can apply for the bull model about fund holding combination when the economic grows up in the future. Oppositely, the bear model is used as economic declines. These two models also emphasizes both risk control and profit aspiring. In addition, this research discovers the best funds from the inside of overseas mutual fund. The significance performance evaluation index can be used to discover the best funds from the inside of overseas mutual fund by the model simulation conducted in this research. The model of combining DEA with Decision Tree thus is effective in selecting fund.