摘要
鉴于传统的数据包络分析方法难以对无偏好性的中性指标进行考量,本研究基于方向性距离函数原理,将股票仓位、持股集中度等中性指标置于数据包络分析中,提出一种含有中性指标的DEA基金效率评价模型;通过在我国基金市场上随机选取的30只混合型基金,综合实证了下行标准差、beta、基金费率、年净值收益率、詹森指数和收益率偏度指标对基金绩效评价的影响,得到2007-2016年各年度基金的DEA效率值,并从基金股票仓位和持股集中度相关交易策略的角度为提升我国基金效率提供了一种可行的思路。
Neutral indexes with no preferences are difficult to be appraised by traditional data envelopment analysis. Based on the principle of directional distance function,a fund performance evaluation model of data envelopment analysis with neutral indexes like stock positions and portfolio concentration is proposed. This paper randomly selects 30 hybrid funds from the fund market in China and gets the DEA efficiency score of each fund in 2007-2016 through the empirical analysis considering the impact of downside standard deviation,beta,fund expend rates,annual net income,Jansen index and skewness on the performance evaluation of the fund. Finally,a feasible way is provided to improve the efficiency of funds in China from the perspective of fund stock positions and related trading strategies.
作者
张鹏
郭文聪
赵园
刘勇
ZHANG Peng;GUO Wen-cong;ZHAO Yuan;LIU Yong
出处
《华南师范大学学报（社会科学版）》
CSSCI
北大核心
2019年第4期63-74,I0002,共13页
Journal of South China Normal University：Social Science Edition
基金
国家自然科学基金项目“动态规划的求解方法及在其多阶段投资组合中的应用研究”(71271161)
关键词
数据包络分析
方向性距离函数
中性指标
多目标决策
基金业绩评价
data envelopment analysis
directional distance function
neutral indexes
multi-objective decision
fund performance evaluation
