文章基本信息

标题：A proposal for measuring efficiency losses of asset management companies: Frontier-based approach
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作者：Hakan Aygören ; Umut Uyar ; Göksal Selahatdin Kelten 等
期刊名称：Borsa Istanbul Review
印刷版ISSN：2214-8450
出版年度：2022
卷号：22
期号：5
页码：925-938
语种：English
出版社：Elsevier B.V.
摘要：The performance of funds by asset management companies needs to be based on an objective benchmark. Studies related to the topic focus on measuring performance using a discrete form that cannot capture precise total efficiency losses. In this study, we propose a continuous approach to compare the performance of funds by taking advantage of the mean-variance efficient frontier with consideration of multiple risk levels. In an empirical analysis, our proposed method is applied to asset management companies with respect to open-end funds. For comparison, we use the output of an averaged Sharpe index. Because averaging the Sharpe index is inevitable for multiple risk levels, this method of calculation causes a loss of efficiency information. Hence, the proposed method has a continuous form of measuring performance, and the results of the two methods demonstrate significantly different patterns.