Study On Performance Evaluation Of Mutual Funds Based Upon DEA Model With Nonlinear Production Frontier

Under the rapid development of Chinese mutual fund industry,the performance evaluation has gradually been in a hot-spot research.From the perspective of static,mutual fund is a kind of financial products with risk-return characteristics.The traditional studies therefore adopt risk-adjusted return as standard,which follows asset pricing theory.However,there is a similar production process between risk and return from the dynamic point of view.As a result,mutual fund can be regarded as a sustained system by inputting risk and outputting return.Accordingly,this paper constructed the super-efficiency DEA model with nonlinear production frontier,introduced Malmquist-DEA index and empirically tested the performances of Chinese open equity funds during 2007-2013,as well as the performance persistence and efficiency trajectory using continuous cross-section data and panel data.Then we analyzed the performance determinants in further.Firstly,we chose standard deviation,Beta,VaR and cost-to-net asset value ratio per unit as the input,adjusted growth rate and weighted average profit margin of net asset value as the output,afterwards established the logarithmic super-efficiency DEA model as a consequence of nonlinear production frontier.The model was applied to evaluating the performances of Chinese open equity funds in empirical study.Then,we decomposed the DEA comprehensive efficiency into technical efficiency and scale efficiency,studied the differences among the fund performances,containing their attributions.The economic meaning of scale efficiency was fund risk level,while technical effiency represented the capabilities of fund managers.Next,using DEA efficiency as a proxy,we explored performance persistence and its influencing factors by method of the two-way table and nonparametric tests.Moreover,we took variable production frontier into consideration,and constructed the Malmquist-DEA model in the dual dimension of space-time.The dynamic performance evaluation of Chinese open equity funds was offered,which reflected the path of efficiency.Finally,we summarized the paper and pointed out present deficiencies,as well as research prospects in the future,including the deep economic meaning of DEA model and the relationship between cross-section difference and market environment.