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中文摘要：
本文通过对基金风险和收益的考察，使用基于非线性有效边界的DEA模型对我国118G开放式基金和31只封闭式基金2007年的DEA绩效及其与夏普指数的异同进行分析，发现虽然DEA指标排名和夏普指数排名有一定正相关性，但DEA绩效精确地给出被评价基金与最优基金组合的差距和无效率基金需要调整风险的大小，为基金改善和提高投资管理绩效提供了具体措施和方向。此外，本文揭示了组合基金FOF的价值，并对组合基金的产品设计具有一定启示。
英文摘要：
The paper use a DEA model based on non-linear efficient frontier to examine the difference of 118 mutual funds and 31 closed end funds between DEA efficiency and Sharpe index in the year 2007, relative to their mean returns and risks. There is positive correlation between DEA efficiency index ranking and Sharpe index ranking, and DEA efficiency index exactly shows the gap between the fund appraised and the optimal funds combination and the risk adjustment that inefficient funds need, providing funds with path and measure to improve investing and performance appraisals. Furthermore, the paper reveals the value of the Fund of Funds, inspiring the FOF product design.
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