Research On The Performance Evaluation Of Open-ended Funds

Although securities investment funds started late in China, they developed very fast in recent years. As the mainstream of China fund industry, open-ended funds have become an important institutional investor in the stock market. Compared to the rapid development of the fund industry, however, the researches on the performance evaluation of funds in China have lagged behind. Although some scholars had builded a number of fund performance evaluation systems in recent years, there were some limitations in their evaluation methods. Hence, it is meaningful to build a comprehensive and rational evaluation index system and to choose the appropriate method to evaluate the performance of the open-ended funds.On the basis of the domestic and international performance evaluation systems and the actual situation in domestic securities market, this paper builds a performance evaluation index system which contains five first-level indexes, such as earnings, risk, risk-adjusted returns, liquidity and management ability of fund managers. Against the limitations of traditional evaluation methods, this paper proposes a method which combines TOPSIS and DEA.In this method, we first get the results of TOPSIS method and then build a performance adjusted formula using the two solutions of both the input-oriented DEA model and the output-oriented DEA model. The results amended by the formula can reflect the performance of funds in the sense of input and output level more fairly.The index system and the method are used to evaluate the performance of the 19 stock open-ended funds from the year 2006 to 2008.The results are as follows: the yields of all the sample funds exceeded the risk-free rate and the performance of most funds outperformed the market benchmark portfolio's; several funds had significant stock selection abilities, but most funds had not showed that they had significant timing abilities; by analyzing the reason of the difference between the results of TOPSIS method and the results amended by DEA method, we can know that it is rational to amend the performance of funds by the method proposed in this paper.