Efficiency Evaluation for MutualFund Family: Two-Stage Process Data Envelopment Analysis
Date Issued
2014
Date
2014
Author(s)
Wang, Shang-Chih
Abstract
Due to the gradual opening of Taiwan’s capital markets and the spread of investment knowledge, people are able to use idle capital more efficiently. In the end of 2013, the total amount of investment to mutual funds in Taiwan has exceeded two trillion NT dollars. Lots of the existing literature analyzes the performances of particular mutual funds, but few examines the performances of the mutual fund families. The reason may be the complex nature of the analysis involved and hard to get enough data for doing research. In this paper, we use a Two-Stage Process Data Envelopment Analysis which promote by Premachandra et al. (2012) to investigate the relative performance of 38 mutual fund families in Taiwan, over the 8-year period from 2008 to 2013.
In this study, we found out that recent law for Trust industry should improve with times, lots of clauses which were create for protecting investors now become the reason why Taiwan’s mutual fund families lose competitiveness. At the other side, performance for mutual fund families exist continuity: one efficiency in short time period usually being good in long time period. It shows that choosing a good performance mutual fund family would be an important issue for investors.
With two-stage product process of mutual fund families, overall efficiency decomposed to two parts: operational management efficiency and portfolio management efficiency. By this decomposed, we can easily identify which stage cause inefficiency and correctly improve in their performance.
Subjects
兩階段生產流程網絡資料包絡分析
共同基金
經營效率
組合效率
效率拆解
Type
thesis
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ntu-103-R01627013-1.pdf
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