MUTUAL FUND PERFORMANCE EVALUATION – APPLICATION OF SYSTEM BCC MODEL

For the first time, this research adopts the system BCC model in data envelopment analysis in order to evaluate mutual fund performance and compares the results between the BCC model and the system BCC model. This study is based on the sample of stock funds and balanced funds in Taiwan, with the empirical results summarised as follows. (i) Under the system BCC model, the average score of balanced funds is greater than the average score of stock funds. (ii) There is a significant difference in efficiency scores between the BCC model and the system BCC model, and it is proper to adopt the system BCC model. (iii) The number of major reference sets that have been referenced under the BCC model is larger than under the system BCC model. (iv) If we neglect the distinctions between stock funds and balanced funds, there will be errors on performance assessment. Ultimately, the results reveal that there is a significant difference between the two models. Provided no consideration is made for the funds belonging to two different systems, errors in performance evaluation are inevitable. This research provides investors with both a more accurate and comprehensive evaluation method.