基于因子分析与DEA模型的基金业绩综合评价

Comprehensive Evaluation of Fund Performance Based on Factor Analysis and DEA Model

利用因子分析方法,通过SPSS统计软件对7个原始指标进行了因子分析,对反映基金风险和收益状况的一些指标进行处理,并将风险因子得分和费用作为输入指标,将收益因子得分和折价率作为输出指标,利用数据包络分析模型对我国封闭式基金进行了综合业绩评价并对基金内部和外部表现进行了DEA有效性排名.

Using the method of factor analysis, the authors carry out factor analysis of 7 primary indexes by means of SPSS statistical software, and try to deal with the indexes reflecting fund risk and profit. Considering risk factor score and costs as input index and profit factor score and discount ratio as output index, they conduct comprehensive evaluation of the closed-fund of our country with the DEA model, and make effective DEA rankings of fund interior and exterior presentations.