Relative Performance Evaluation of Mutual Funds: A Non‐Parametric Approach
提出一种新的共同基金绩效指数，解决基准问题并控制规模经济，引入“回报-成本”效率概念，发现多数基金在均值-方差效率上表现良好，但在交易成本配置上效率低下。
We propose an alternative mutual fund performance index which addresses the benchmark problem and controls for economies of scale in managing mutual funds. We advance a new concept of ‘return‐cost’ efficiency as another important element in evaluating portfolio management, in addition to the mean‐variance efficiency concept. Our index based on a non‐parametric estimation is shown to be similar to the Sharpe index with multiple slopes (or factors). We have shown that all fund categories, except income funds, have similar average efficiency scores after controlling for economies of scale. Most funds operate in increasing returns to scale and seem to be successful in holding mean‐variance efficient portfolios, but unsuccessful in allocating transaction costs efficiently, evidenced by excessive turnovers and loads.