基于DEA的封闭式基金业绩评价

摘要/Abstract

摘要： 数据包络分析(Data Envelopment Analysis,DEA)是一种广泛运用于相对绩效评估的系统分析方法,本文将一多输入单输出DEA模型引入证券投资基金业绩评价,其中输出为基金收益,而输入则为管理费用、交易成本和标准差。随后,利用该模型对2000年以前上市的20只基金在2000年、2001年及2000～2001年间的业绩进行了评价,主要结论有:在所有评价期,基金安顺、普丰、兴和和金鑫的业绩相对有效,基金裕阳和裕隆相对较无效,它们的相对业绩均表现短期持续性;单位交易成本和基金收益率而非单位管理费用和标准差是影响基金相对业绩(非绝对业绩)的主要因素,尤其是基金收益率。

关键词: 封闭式基金, 业绩评价, 数据包络分析

Abstract: Data Envelopment Analysis(DEA)is a system analysis methodology which is widely used to evaluate relative performance.This paper introduces a multiple inputs-single output DEA model,which considers output as fund returns and inputs as management expenses,transaction cost and standard deviation,to evaluate securities investment fund performance.Subsequently,the performance in 2000,2001,and 2000～2001 of twenty closed-end funds that have listed before 2000 is evaluated.The main results are:Anshun,Pufeng,Xinghe and Jinxing are relatively efficient, Yuyang and Yulong are relatively inefficient in all evaluation periods,and their relative performance all shows short-term persistence;transaction costs per unit and fund returns ratio(not management expenses per unit and standard deviation)are main factors which affect relative performance (not absolute performance) of closed-end fund,especially for fund returns ratio.

Key words: closed-end fund, performance evaluation, Data Envelopment Analysis

中图分类号:

F830.91

罗洪浪, 王浣尘, 田中甲. 基于DEA的封闭式基金业绩评价[J]. 中国管理科学, 2003, (5): 20-25.

LUO Hong-lang, WANG Huan-chen, TIAN Zhong-jia. DEA-Based Closed-End Fund Performance Evaluation[J]. Chinese Journal of Management Science, 2003, (5): 20-25.

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