论文标题
一种基于印度共同基金绩效的数据包络分析方法
A Data Envelopment Analysis Approach to Benchmark the Performance of Mutual Funds in India
论文作者
论文摘要
随着印度经济在数字上的增长并变得越来越包容，越来越多的投资者开始投资于印度的资本市场。印度共同基金计划的零售和机构作品集的数量连续第74个月继续增加。这项研究考虑了139个共同基金计划（98个股权计划），并旨在确定各种指标和参数，零售和机构投资者继续依靠来提出投资建议。我们将这些与数据包络分析模型的结果进行了比较，该模型基于最佳风险，成本和回报权衡而产生效率边界。我们进一步提出了DEA模型的迭代，不仅考虑了风险，成本和回报特征，而且还纳入了诸如对零售和机构投资者重要性的信息比率之类的指标。我们将这些结果与既定行业评级机构发布的传统指标和基金排名进行了比较。
As the Indian economy grows digitally and becomes more financially inclusive, more and more investors have started to invest in the Indian capital markets. The number of retail and institutional folios with Indian mutual fund schemes have continued to rise for the 74th consecutive month. This study considers 139 mutual fund schemes (98 equity schemes) and aims to ascertain the various metrics and parameters, retail and institutional investors continue to rely on to make investment recommendations. We compare these with the results from a data envelopment analysis model that generates an efficiency frontier based on an optimal risk, cost, and return trade-off. We further put forth an iteration of the DEA model, not only considering risk, cost, and return characteristics but also incorporating metrics such as the information ratio which hold significance for retail and institutional investors. We compare these results with traditional metrics and fund rankings published by established industry rating agencies.
