Securities Investment Fund Performance Based On Dea Dynamic Analysis Model

Mutual funds develop rapidly in Chinese security market, and thescale of the mutual funds market gets great. As more and more new fundsare being established, fund evaluation draws a lot of attentions. But wedon't have a comprehensive and efficient fund evaluation system for themoment. In western countries, a lot of studies have been done and manymeasurement methods based on the CAPM have been put forward. Andthen other researchers such as Treynor, Sharpe and Jensen gave someother single-factor index. But whether the CAPM model is available isunder discussion for Chinese security market. In allusion to the limitationof the traditional evaluation approach, DEA approach is put forward tothe funds evaluation. It overcomes the distortion which happens becauseof the difference of benchmarks. It is also able to measure how somefactors work on the evaluation result and has predominance comparingthe parameter approach. The PSC~2R model is brought forward aftermending the C~2R model and takes the risk leaning into account. So itadapts to the funds performance evaluation better. A dynamic fundevaluation model is established with Window Analysis approach.A series of index is selected with the consideration of kinds offactors. Applying the dynamic model, the paper evaluates 20 mutualfunds performance in the second half of 2004 and 2005. It includes efficiency analysis both in macroscopic and microcosmic, the durative ofperformance and the general rank.According to the result, almost one fifth mutual funds are DEAefficient in the 6 periods; other funds are inefficient, so that the wholefunds market is not very efficient. And the performance of all funds doesnot have continuance. The reason for inefficiency is overabundance ofinput and executive expense, lack of investment risk control and highlevel of risk.