Using the relative effective ratio- η coefficient,the Benchmark-Efficient Frontier Methodology developed by Matthew&Richard has been improved.Computing the η coefficient and information ratio, we rank the performance of fifty-two closed-end funds in China were ranked.The obtained rank of the two methods were consistent and reliable.The relationship among the fund performance,fund size and fund age. The result showed there was no significant correlation in them.
蒋崇辉, 马永开. 基金业绩评价方法新探及其实证研究[J]. J4, 2004, 1(3): 304-.
JIANG Chong-Hui, MA Yong-Kai. A New Approach to Evaluating Fund Performance and its Empirical Study. J4, 2004, 1(3): 304-.