DEA방법을 이용한 수익증권의 효율성 분석

Beneficiary certificates have gained popularity and acceptance not only by individuals but also by institutional investors such as banks, pension funds and insurers for diversifying stock and bond portfolios. For the appraisal of the performance of funds a variety of models have been suggested to complement or overcome the shortcomings of the traditional indices, such as Sharpe or Treynor indices. In this article we apply a mathematical programming approach called DEA to evaluate the performance of beneficiary certificates in Korea for the 5 quarters during the period of 2004~2005. This approach allows us to build fund performance indices that can take into account multiple inputs including several expenses related with funds. Another advantage of the DEA approach is that it avoids the benchmark problem that exists in the traditional indices. The results show that the fees for marketing and managing funds have played an important role in the measurement of fund performance efficiency. We also find that there have been noticeable differences in the trends of efficiency scores and change between equity-type and mixed beneficiary certificates. The level of efficiency scores are different among different models, but the patterns of results are robust to model selection. Using DEA method can validate fund manager selection with other methodologies.