Research And Application On The Performance Evaluation Of Security Investment Fund Based On DEA

Since 1997,"Interim Measures for the Administration of Securities Investment Funds"has been promulgated,the fund industry in China has entered in a rapid development of 10 years,the number of both the Fund and fund management companies and the size of the Fund's assets have grew rapidly.Compared with the rapid development of the Fund,the research on fund's performance evaluation is relatively backward.The research method of performance evaluation with reference to the performance of foreign funds research,in the basis of empirical studies point out the applicability and limitations of various methods;in the fund performance evaluation system,compared with foreign funds authority performance rating system, evaluate systems in China,mainly exist the deficiencies of independence,evaluation methods and evaluation content.Pre-foreign fund performance evaluation methods can be traced back to the 20th century,60's,in the basis of modem portfolio theory and capital asset pricing model, the evaluation method of fund performance is research on the Fund overall performance,the Fund's performance attribution and the Fund's sustained profitability, from risk-adjusted index of the three classic models to DTGW model,to the Spearman rank correlation coefficient test,the evaluation model experienced from the single factor to the evolution of multi-factor.With in-depth study,the effectiveness of Fund evaluation performance based on the CAPM theoretical basis has been an increasing number of challenges and questioned.In order to avoid the impact of the comparison fund performance benchmark results on CAPM structure,the fund performance evaluation research methodology towards a non-benchmark method of fund performance evaluation,such as the PCM method and the method of DEA fund performance evaluation.DEA evaluation method is a system analysis method based on"relative efficiency"which by multi-index included inputs and outputs to evaluate the relative effectiveness of decision-making unit which of the same type.The DEA model CCR model and the BBC are commonly used.Through the model calculation,using the CCR model can get the technical efficiency of decision-making unit;BBC model is the weakening of the CCR model which transfer the assumption of a const scale to returns to a variable scale to returns.Through the model calculation,using the BBC model can get the purely technical efficiency and the scale efficiency.Modern portfolio theory shows that the forms of portfolio investments are in control and assume certain risks to obtain the corresponding incomes in a period of time.This type of incomes is the basis for evaluation.Fund is a product which invests a variety of securities by the form of portfolios.Fund can be seen as a decision making unit when using the DEA method to evaluate the performance.The inputs of the decision making unit are the risks and costs and the outputs are the benefits. Because of the fact that using the DEA method to evaluate the performance of fund needs not to presume the benchmark,we can evaluate the performance more intuitively by choosing the original indicators.While construct the fund performance evaluation model base on DEA,the sensitivity of the DEA indicators should be considered.First of all we should determine the purpose of fund performance evaluation and the direction of model through the analysis of the evaluation purposes.Fund is a principals-agent relationship.The aim of fund performance evaluation is not only the situation of investment returns,but also the efficiency of operating.This paper constructs two DEA models,the cost-benefit model and the operating efficiency model.The cost-benefit is based on the perspective of the fund investors,while the operating efficiency is based on the fund managers.Cost-benefit model evaluate the technical efficiency of the returns after adjust the risks and costs.We can get a ranking of the fund through the cost-benefit model.The operating efficiency model evaluates the capacity of the fund manager to make a profit by considering the risks and costs.We can analysis the state of the fund and the direction of improvement by the technical efficiency and the scale efficiency.Both of the two models are conform to the input-output concept.For they have different point of view,the indicators of each one are different.This paper analysis the equity-claims balance funds by using the fund performance evaluation model.The data of the fund sample is date from 2006 to 2008.The results of the cost-benefit model shows that in a shout period,the main reason for the non-DEA efficiency is the high risk and transaction costs.But in a long period,the reasons for the non-DEA efficiency are not only the risk and the cost,but also the high pay fees.Both the Chinese reward and the Boshi growth get the DEA efficiency in different periods.They are the most efficient return on investment fund. Compare to the Morningstar,cost-benefit model get the results which is similar to the results provided by Momingstar.It means this model is efficiency.The results of the operating efficiency model shows that fund managers should make efforts to reduce the risk in 2008.The capacity of the fund investors is low because most of them waste their money to purchase a bad fund.A majority of fund are in the state of decrease returns to scale.Fund managers should reduce the scale of investment to improve the technical efficiency of the fund.