证券投资基金业绩评价实证研究——DEA法与传统指数的碰撞
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摘要
传统基金业绩评价方法因其基准组合选取及有效性前提假设问题广受质疑,而以样本自身为参照的无基准方法 DEA法可有效弥补这一缺陷。文章运用DEA法对我国24只基金在2017年1月至2018年1月的业绩进行评价,并将结果与传统评价方法进行比较分析。研究表明:多数基金处于相对无效状态;基金业绩具有较强的短期持续性;中等规模基金的业绩表现显著优于大、小规模;债券型基金的平均效率高于股票型和混合型,但排名靠前的基金中混合型占大多数。结合传统方法 Sharpe和Jensen指数的评价结果,借助DEA法对投入产出的规模效率和技术效率的有效度量,可显著提高结果经济意义的解释性与评价的准确性。
The traditional fund performance evaluation method is widely questioned because of the selection of its benchmark portfolio and the assumption of validity, while the non-standard method, DEA, which is based on the sample itself, can effectively remedy this defect. So this paper uses DEA to evaluate the performance of 24 funds in China from Jan. 2017 to Jan. 2018, and compares the results with the traditional evaluation method. As the result shows, most funds are in a relatively ineffective state and fund performance has strong short-term sustainability. The performance of medium-sized funds is significantly better than that of large and small ones. The average efficiency of bond funds is higher than that of stocks and hybrids, but the mixed funds of the top funds are the majority. Compared with the traditional index evaluation method, it is found that the fund rankings obtained from different evaluation angles are not the same, and the evaluation effect is not satisfactory with a single method. Combined with the evaluation results of the traditional methods Sharpe and Jensen index, the effective measurement of the scale efficiency and technical efficiency of input and output by means of DEA method can significantly improve the interpretation of the economic meaning of the results and the accuracy of evaluation.
The traditional fund performance evaluation method is widely questioned because of the selection of its benchmark portfolio and the assumption of validity, while the non-standard method, DEA, which is based on the sample itself, can effectively remedy this defect. So this paper uses DEA to evaluate the performance of 24 funds in China from Jan. 2017 to Jan. 2018, and compares the results with the traditional evaluation method. As the result shows, most funds are in a relatively ineffective state and fund performance has strong short-term sustainability. The performance of medium-sized funds is significantly better than that of large and small ones. The average efficiency of bond funds is higher than that of stocks and hybrids, but the mixed funds of the top funds are the majority. Compared with the traditional index evaluation method, it is found that the fund rankings obtained from different evaluation angles are not the same, and the evaluation effect is not satisfactory with a single method. Combined with the evaluation results of the traditional methods Sharpe and Jensen index, the effective measurement of the scale efficiency and technical efficiency of input and output by means of DEA method can significantly improve the interpretation of the economic meaning of the results and the accuracy of evaluation.
引文
[1]MARKOWITZ H.Portfolio Selection[J].Journal of Finance,1952(7):77-91.
[2]SHARPE W.Capital Asset Price[J].Journal of Finance,1964(19):425-442.
[3]TREYNOR J L.How to rate management investment funds[J].Journal of Business,1965,43(1):63-75.
[4]SHARPE W F.Mutual fund performance[J].Journal of Business,1966,39(12):119-138.
[5]JENSEN M C.The performance of mutual funds in the period1945-1964[J].Journal of Finance,1968(23):389-416.
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[12]CHARNES A.etc.Measuring the efficiency of decision making units[J].European Journal of Operation Research,1978(2):429-444.
[13]MURTHI B.etc.Efficiency of mutual fund and portfolio performance measurement[J].European Journal of Operational Research,1997,98(2):408-418.
[14]CHOI Y,MURTHI B.Relative performance evaluation of mutual funds[J].Journal of Business Finance&Accounting,2001,28(7):853-876.
[15]BASSO A,FUNARI S.A data envelopment analysis approach to measure the mutual fund performance[J].European Journal of Operational Research,2001,135(3):477-492.
[16]徐涵江.证券投资基金经营业绩评价研究及其实证分析[J].统计研究,2000(4):28-31.
[17]王聪.证券投资基金绩效评估模型分析[J].经济研究,2001(9):31-38.
[18]吴启芳,汪寿阳.证券投资基金业绩评价中的几个基本问题[J].管理评论,2003(3):22-28.
[19]郭放.我国证券投资基金业绩评价及择时能力研究[J].哈尔滨商业大学学报,2010(6):22-27.
[20]罗红浪,王浣成,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):20-24.
[21]赵秀娟,汪寿阳.中国证券投资基金运行效率的一个实证研究[J].系统工程理论与实践,2007(3):1-11.
[22]徐美萍,张波.基于DEA的基金绩效评价研究[J].数学的实践与认识,2009(11):27-32.
[23]赵子瑶.基于DEA和夏普指数对基金经营业绩的分析[J].产业与科技论坛,2016(10):90-92.
[24]邓超,袁倩.基于动态DEA模型的证券投资基金绩效评价[J].系统工程,2007(1):111-117.
[25]赵秀娟,张洪水,黎建强,等.一个基于非对称Laplace分布和DEA的证券投资基金评价方法[J].系统工程理论与实践,2007(10):1-10.
[26]沈维涛,黄兴孪.我国证券投资基金业绩的实证研究与评价[J].经济研究,2001(9):22-30.
[27]罗春风.我国证券投资基金总体绩效的实证研究[J].财经科学,2012(3):19-26.
[28]DORMS W,WALKE D.Persistence of mutual fund operating characteristics[J].Applied Financial Economics,2001(11):457-466.
[29]王守法.我国证券投资基金绩效的研究与评价[J].经济研究,2005(3):119-127.
[2]SHARPE W.Capital Asset Price[J].Journal of Finance,1964(19):425-442.
[3]TREYNOR J L.How to rate management investment funds[J].Journal of Business,1965,43(1):63-75.
[4]SHARPE W F.Mutual fund performance[J].Journal of Business,1966,39(12):119-138.
[5]JENSEN M C.The performance of mutual funds in the period1945-1964[J].Journal of Finance,1968(23):389-416.
[6]TREYNOR D E.and MAZUY K..Can mutual funds outguess the market[J].Harvard Business Review,1966(17):33-36.
[7]HENRIKSSON R D.MERTON R C.On the market timing and investment performance:Statistical procedures for evaluating for forecasting skills[J].Journal of Business,1981,54(4):513-533.
[8]ROLL R.A critique of the asset pricing theory tests[J].Journal of Financial Economics,1977(4):129-176.
[9]GRINBLATT M.,SHERIDAN T.Adverse risk incentives and the design of performance-based contracts[J].Management Science,1989(35):807-822.
[10]FAMA E.FRENCH K,The cross-section of expected stock returns[J].Journal of Finance,1992(47):427-466.
[11]CARHART M.On persistence in mutual fund performance[J].Journal of Finance,1997,52(1):57-82.
[12]CHARNES A.etc.Measuring the efficiency of decision making units[J].European Journal of Operation Research,1978(2):429-444.
[13]MURTHI B.etc.Efficiency of mutual fund and portfolio performance measurement[J].European Journal of Operational Research,1997,98(2):408-418.
[14]CHOI Y,MURTHI B.Relative performance evaluation of mutual funds[J].Journal of Business Finance&Accounting,2001,28(7):853-876.
[15]BASSO A,FUNARI S.A data envelopment analysis approach to measure the mutual fund performance[J].European Journal of Operational Research,2001,135(3):477-492.
[16]徐涵江.证券投资基金经营业绩评价研究及其实证分析[J].统计研究,2000(4):28-31.
[17]王聪.证券投资基金绩效评估模型分析[J].经济研究,2001(9):31-38.
[18]吴启芳,汪寿阳.证券投资基金业绩评价中的几个基本问题[J].管理评论,2003(3):22-28.
[19]郭放.我国证券投资基金业绩评价及择时能力研究[J].哈尔滨商业大学学报,2010(6):22-27.
[20]罗红浪,王浣成,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):20-24.
[21]赵秀娟,汪寿阳.中国证券投资基金运行效率的一个实证研究[J].系统工程理论与实践,2007(3):1-11.
[22]徐美萍,张波.基于DEA的基金绩效评价研究[J].数学的实践与认识,2009(11):27-32.
[23]赵子瑶.基于DEA和夏普指数对基金经营业绩的分析[J].产业与科技论坛,2016(10):90-92.
[24]邓超,袁倩.基于动态DEA模型的证券投资基金绩效评价[J].系统工程,2007(1):111-117.
[25]赵秀娟,张洪水,黎建强,等.一个基于非对称Laplace分布和DEA的证券投资基金评价方法[J].系统工程理论与实践,2007(10):1-10.
[26]沈维涛,黄兴孪.我国证券投资基金业绩的实证研究与评价[J].经济研究,2001(9):22-30.
[27]罗春风.我国证券投资基金总体绩效的实证研究[J].财经科学,2012(3):19-26.
[28]DORMS W,WALKE D.Persistence of mutual fund operating characteristics[J].Applied Financial Economics,2001(11):457-466.
[29]王守法.我国证券投资基金绩效的研究与评价[J].经济研究,2005(3):119-127.