An Empirical Research In The Performance Evaluation Of Mutual Funds In China

As a new type of financial instrument characteristic of cooperative investment, expert's operation, shared risk and common benefit, mutual funds have become an important investment instrument worldwide. With the development of our financial market, the investment funds'scale from strength to strength, in the face of a growing number of alternative investment funds species, how to evaluate the performance of different funds with proper, scientific measure in order to elect the highest rate of return fund varieties will become the investors most concerned about matter. The article studies the more popular method of evaluation on Western mature funds market, in virtue of the measure in Fund achievement evaluation of Western more mature market and adapting to the present stage of China market in Securities Investment Fund to evaluate Investment Fund in the past years'achievement performance more complete, more comprehensive.Firstly, beginning with the theory of securities investment fund performance evaluation, introduced the funds performance evaluation of the theoretical basis, including the theory of market efficiency, the Markowitz portfolio theory, capital asset pricing model (CAPM). Secondly, appraise the evaluation system of domestic and overseas securities investment fund performance as well as open-end fund performance evaluation of the traditional methods of the advantages and disadvantages; On this basis, build a comprehensive evaluation model grounding on Factor Analysis and Date Envelopment Analysis (DEA) Models. Thirdly, from the fund performance evaluation system select 11 indicators, such as the net assets of the Fund units, the system risk factor the system risk coefficient(β), the unit cost of funds rate, Jensen, Treynor, Sharp, the growth of net value, annual yield, the standard deviation of the net value's growth and the standard deviation of performance comparing benchmark yield, use Factor Analysis to evaluate. Based on Factor Analysis, aiming at DEA method input and output indicators require linear correlation weak or non-relevance of the characteristics, adopt factors that selected by Factor Analysis as the input and output indicators of DEA model, to build an open-end fund comprehensive evaluation system that accorded with the situation of China, then evaluate the open-end fund performance with empirical analysis. Finally, the paper compared the evaluation of the results between Factor Analysis and DEA and assembled the two methods. And introduce Pearson correlation coefficient to determine the consistency between the two methods. Based on the comprehensive evaluation of Factor Analysis and DEA, standardized the result of evaluation and calculated the score of the combination. Through the combination the result of evaluation of the two methods a more comprehensive and objective evaluation about the open-end fund performance is given. The article also refers to some issues that still need further study, and mentions some policies and recommendations about the China's securities investment fund performance evaluation.