The performance of Mutual Funds Applied Context-Dependent Data Envelopment Analysis Model

• Main Authors: Tsu-ying Lee, 李姿瑩
• Other Authors: Yung-Ho Chiu
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/22524649007790718823

碩士 === 東吳大學 === 經濟學系 === 97 === This study is the pioneer of employing Context-Dependent DEA model to assess the performance of different characteristics in mutual funds, and is based on the sample of stock funds and balanced funds in Taiwan. We select the monthly purchasing turnover rate, expense ratio, loads ratio and monthly standard deviation as inputs, and Treynor index, Sharpe index, Jensen index and monthly rate of return as outputs. The study can figure out attractiveness and progress of stock funds and balanced funds in Taiwan. The empirical results are summarized as follows. (i) Attractiveness and progress is large than one. There are better efficiency at the first level than others level. (ii) At the Nth level, we can compare different level to each other then figure out attractiveness and progress of stock funds and balanced funds. Even if at the same analysis of attractiveness o progress of stock funds and balanced funds, it may not mean that the same level of funds is the best attractiveness or progress. The consumers can choose those funds depend on theirs preference.