基于DEA模型的ETF与其他开放式基金绩效比较研究

中国ETF与国外市场相比还处于初级阶段,尚未被投资者广泛接受和认可。在国内外基金绩效评价研究的基础上,将传统的基金绩效评价方法、主成分分析法与DEA模型相结合,构建了针对于开放式基金的绩效评价体系。选取了三种不同市场行情的样本区间(牛市、熊市和震荡市),对不同行情下ETF和其他类型股票型开放式基金的业绩进行比较。丰富了基金绩效评价理论,并为投资者、基金管理人以及监管机构提供建议,以期促进和发展中国ETF市场。

Research on Performance Appraisal Comparison Between ETFs and Other Open-Ended Funds in China Based on DEA Model

The ETFs market of China is immature compared with that of developed market, and thus it has still not been widely accepted and recognized by investors. This paper designs a performance evaluation system for stock open-ended funds based on the previous researches of fund performance appraisal. To create the performance system,three research methods are combined in this paper: traditional fund performance appraisal method, principal component analysis(PCA), and data envelopment analysis(DEA). The sample intervals in this paper cover three different market scenarios(bull market, bear market and oscillating market). It has enriched the fund performance evaluation theory and provided advice to investors, fund managers and regulators. In order to promote and develop Chinas ETF market.