ETF performance measurement - Data envelopment analysis
Refereed conference paper presented and published in conference proceedings

香港中文大學研究人員
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摘要In this paper we apply Data Envelopment Analysis (DEA) to evaluate the performance of IShare World exchange-traded funds (ETFs) including major countries in Asia Pacific, Europe, North America and some emerging markets from 2006 to 2009. We investigate how the recent financial crisis affects the economies of different countries by looking into particular country indices relative to S&P 500 and Sharpe Ratio. Contrary to other DEA studies that rely on CCR and BCC models, an advanced model - range directional measure (RDM) - is employed in our work to measure ETF performance with an aim to overcoming the problem of negative-valued data. Another innovative approach is that we separate the total risk commonly measured by standard deviation into two components: upside potential and downside deviation. Finally, Spearman correlation coefficient is calculated to test whether the performances of ETFs are persistent over two consecutive time periods. The results indicate that DEA is able to provide a more comprehensive picture of ETF performance appraisal and hence a viable complement to traditional risk-adjusted index. ©2010 IEEE.
著者Chu J., Chen F., Leung P.
會議名稱7th International Conference on Service Systems and Service Management, ICSSSM'10
會議開始日28.06.2010
會議完結日30.06.2010
會議地點Tokyo
會議國家/地區日本
詳細描述organized by ICSSSM'10,
出版年份2010
月份8
日期30
頁次173 - 178
國際標準書號9781424464876
語言英式英語
關鍵詞DEA, ETF, Performance measurement, RDM

上次更新時間 2021-13-06 於 00:22