بررسی کارایی صندوق‌های سرمایه‌گذاری با نگرشی متفاوت از تحلیل پوششی داده‌ها
محورهای موضوعی : مهندسی مالی
1 - گروه ریاضی، واحد آبادان، دانشگاه آزاد اسلامی، آبادان، ایران
کلید واژه: رتبه‌بندی, تحلیل پوششی داده‌ها, صندوق‌های سرمایه‌گذاری مشترک, چندافقی,
چکیده مقاله :
با وجود تعداد زیاد صندوق‌های سرمایه‌گذاری مشترکِ در دسترس سرمایه‌گذاران، توجّه به رتبه‌بندی آن‌ها از اهمیت زیادی برخوردار است. بسیاری از رویکرد‌های رتبه‌بندی، از وزن‌های ذهنی برای ادغام عملکرد صندوق‌ها در افق‌های زمانی متفاوت استفاده می‌کنندکه این موضوع می‌تواند منجر به رتبه‌بندی‌های کاملاً متفاوتی شود. تاکنون در ارزیابی صندوق‌ها با کمک تحلیل پوششی داده‌ها، کارایی صندوق‌ها محاسبه و سپس از بین صندوق‌های کارا، سبدسهام انتخاب می‌گردید. در این مقاله، یک نگرش و کاربرد جدید از فلسفه‌ی تحلیل پوششی داده‌ها (کاهش ورودی و افزایش خروجی) استفاده و به مفهوم ریسک و بازده تعمیم داده شده است. مدل پیشنهادی، تکنیکی غیرپارامتری جدیدی است که بر تخمین همزمان پتانسیل‌های انقباضی (ریسک) و انبساطی (بازده) تمرکز دارد. این رویکرد، هرگونه نیاز به تجارت ذهنی از جمله اهمیّت، وزن دار کردن و معنادار بودن اقدامات در افق‌های زمانی مختلف را از بین می‌برد. این رویکرد براساس عملکرد صندوق تحت ارزیابی نسبت به دیگر صندوق‌ها، نمره‌ایی را به صندوق تحت ارزیابی نسبت می‌دهد که براساس آن می‌توان رتبه‌بندی صندوق‌های سرمایه‌گذاری مشترک را انجام داد. این مدل بر روی جامعه‌ی نمونه‌ای متشکل از 26 صندوق سرمایه‌گذاری مشترک اعمال شده است. نتایج واضح و رتبه‌بندی منحصربفرد نشان‌دهنده قابلیت این مدل در ارزیابی و رتبه‌بندی صندوق‌ها می‌باشد.
Despite the large number of mutual funds available to investors, paying attention to their ratings is important. Many ranking approaches use subjective weights to integrate fund performance across different time horizons, which can lead to completely different ranking.So far, the efficiency of the funds has been calculated in the valuation of the funds with the help of data envelopment analysis, and then the portfolio is selected from the efficient funds. In this paper, a new approach and application of the philosophy of data envelopment analysis (input reduction and output increase) is applied and generalized to the concept of risk and return. The proposed model is a new nonparametric technique that focuses on the simultaneous estimation of contractile (risk) and expansion (return) potentials. This approach eliminates any need for mental such as the importance, weighting, and meaningfulness of actions across different time horizons. This approach, based on the performance of the underlying fund relative to other funds, assigns a score to the underlying fund, on which it can rank the funds.This model has been applied to a sample community of 26 mutual funds. The clear results and unique ratings indicate the ability of this model to evaluate and ranking.
Banker R, Kaufman R, Morey RC.(1990). Measuring gains in operational efficiency from information technology. A study of the position deployment at Hardee's. J Management Information System, 7(2):29-54.
[2] Banker RD, Morey RC.(1968) Efficiency analysis for exogenously fixed inputs and outputs. Operation Research; 34 (4):513-521.
[3] Charnes A, Cooper WW, Rhodes E. (1981). Evaluating program and managerial efficiency: an application of data envelopment analysis to program follow through. Management Science, 27:668-697.
[4] Connor G, Korzjszyk R.(1991). Performance measurement with the arbitrage pricing theory: a new framework for analysis. Rev Quant Finance Account, 7:4-25.
[5] Elton E, Gruber M, Blake C.(1996). The persistence of risk-adjusted mutual fund performance. J Business, 69:60-133.
[6] Elton E, Gruber M, Das S, Hlavka M.(1993). Efficiency with costly information: a reinterpretation of evidence from manager portfolios. Rev Finance Study, 6:1-22.
[7] Farrell MJ. (1957) .The measurement of productive efficiency. JR Stat Soc Ser A, 120:253-290.
[8] Grinblatt M, Titman S.( 1989). Mutual fund performance: an analysis of quarterly portfolio holdings. J Business, 393-416.
[9] Grinblatt M, Titman S. (1993). Performance measurement with-out benchmarks: an examination of mutual fund returns.J Business, 66(1):47-68.
[10] Jensen M. (1968). The performance of mutual funds for the period 1945±1964. J Finance; 23(2):389-416.
[11] Jensen M. (1969), Risk the pricing of capital assets, and the evaluation of investment portfolios. J Finance, 167-247.
[12] Joy M, Porter R.( 1974). Stochastic dominance and mutual fund performance. J Finance Quant Anal, January 9(1):25-31.
[13] Lehman B, Modest D.( 1987).Mutual fund performance evaluation: a comparison of benchmarks and benchmark comparisons. J Finance, June: 233-265.
[14] Lewin A, Morey RC, Cook T. (1982).Evaluating the administrative efficiency of courts. Omega, spring 82:401-411.
[15] Lintner J. (1965).The valuation of risk assets and the selection of risky investments in stock portfolios and capital bud-gets. Rev Econ Stat, 47:13-37.
[16] Markowitz H. (1995). Portfolio selection. J Finance, March: 77-91.
[17] Meyer J. (1965). Further application of stochastic dominance to mutual fund performance. J Finance Quant Anal, June: 235-242.
[18] Morey RM, Morey RC. (1999). Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking. Omega, Int. J. Management Sic, 27: 241-258.
[19] Morningstar's Mutual Fund On-Disc Manual. (1995) Morningstar, Chicago, IL.
[20] Murthi BPS, Choi YK, Desai P.( 1997). Efficiency of mutual funds and portfolio measurement: a non-parametric approach. Eur J Oper Res, 98:408-418.
[21] Okunev J. (1990). An alternative measure of mutual fund performance. J Business Finance Account, Spring 17(2):247-264.
[22] Roll R. (1978). Ambiguity when performance is measured by the security market line. J Finance, September 33:1051-1069.
[23] Ross S. (1976). The arbitrage theory of capital asset pricing. J Econ Theory, December: 341-360.
[24] Sharpe WF.(1966). Mutual fund performance. J Business, January: 119-138.
[25] Sharpe W.(1988). Determining a fund's effective asset mix. Invest Manage Rev, June: 5-15.
[26] Time Magazine.( 1996). Sept. 30.
[27] Treynor J.( 1965).How to rate management investment funds.Harvard Business Rev, January-February: 63-75.
[28] Jafe C.( 1995). Rating the raters: flaws found in each service. Boston Globe, August 27, p.78.
[29] Gould C. (1994). Star ratings don't tell entire story. New York Times, July
_||_Banker R, Kaufman R, Morey RC.(1990). Measuring gains in operational efficiency from information technology. A study of the position deployment at Hardee's. J Management Information System, 7(2):29-54.
[2] Banker RD, Morey RC.(1968) Efficiency analysis for exogenously fixed inputs and outputs. Operation Research; 34 (4):513-521.
[3] Charnes A, Cooper WW, Rhodes E. (1981). Evaluating program and managerial efficiency: an application of data envelopment analysis to program follow through. Management Science, 27:668-697.
[4] Connor G, Korzjszyk R.(1991). Performance measurement with the arbitrage pricing theory: a new framework for analysis. Rev Quant Finance Account, 7:4-25.
[5] Elton E, Gruber M, Blake C.(1996). The persistence of risk-adjusted mutual fund performance. J Business, 69:60-133.
[6] Elton E, Gruber M, Das S, Hlavka M.(1993). Efficiency with costly information: a reinterpretation of evidence from manager portfolios. Rev Finance Study, 6:1-22.
[7] Farrell MJ. (1957) .The measurement of productive efficiency. JR Stat Soc Ser A, 120:253-290.
[8] Grinblatt M, Titman S.( 1989). Mutual fund performance: an analysis of quarterly portfolio holdings. J Business, 393-416.
[9] Grinblatt M, Titman S. (1993). Performance measurement with-out benchmarks: an examination of mutual fund returns.J Business, 66(1):47-68.
[10] Jensen M. (1968). The performance of mutual funds for the period 1945±1964. J Finance; 23(2):389-416.
[11] Jensen M. (1969), Risk the pricing of capital assets, and the evaluation of investment portfolios. J Finance, 167-247.
[12] Joy M, Porter R.( 1974). Stochastic dominance and mutual fund performance. J Finance Quant Anal, January 9(1):25-31.
[13] Lehman B, Modest D.( 1987).Mutual fund performance evaluation: a comparison of benchmarks and benchmark comparisons. J Finance, June: 233-265.
[14] Lewin A, Morey RC, Cook T. (1982).Evaluating the administrative efficiency of courts. Omega, spring 82:401-411.
[15] Lintner J. (1965).The valuation of risk assets and the selection of risky investments in stock portfolios and capital bud-gets. Rev Econ Stat, 47:13-37.
[16] Markowitz H. (1995). Portfolio selection. J Finance, March: 77-91.
[17] Meyer J. (1965). Further application of stochastic dominance to mutual fund performance. J Finance Quant Anal, June: 235-242.
[18] Morey RM, Morey RC. (1999). Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking. Omega, Int. J. Management Sic, 27: 241-258.
[19] Morningstar's Mutual Fund On-Disc Manual. (1995) Morningstar, Chicago, IL.
[20] Murthi BPS, Choi YK, Desai P.( 1997). Efficiency of mutual funds and portfolio measurement: a non-parametric approach. Eur J Oper Res, 98:408-418.
[21] Okunev J. (1990). An alternative measure of mutual fund performance. J Business Finance Account, Spring 17(2):247-264.
[22] Roll R. (1978). Ambiguity when performance is measured by the security market line. J Finance, September 33:1051-1069.
[23] Ross S. (1976). The arbitrage theory of capital asset pricing. J Econ Theory, December: 341-360.
[24] Sharpe WF.(1966). Mutual fund performance. J Business, January: 119-138.
[25] Sharpe W.(1988). Determining a fund's effective asset mix. Invest Manage Rev, June: 5-15.
[26] Time Magazine.( 1996). Sept. 30.
[27] Treynor J.( 1965).How to rate management investment funds.Harvard Business Rev, January-February: 63-75.
[28] Jafe C.( 1995). Rating the raters: flaws found in each service. Boston Globe, August 27, p.78.
[29] Gould C. (1994). Star ratings don't tell entire story. New York Times, July