Continuous Research, Classification And Performance Of Securities Investment Funds Based On The Malmquist Index

Although the research of persistence in fund performance seems as if it is just an explanation for an abnormal phenomena in financial market, it has already permeated into every aspect of study on fund investment. In fact, it is a very challenging subject in modern financial study. The research on persistence in fund performance can not only dig out more useful information, which can be used to help investors with their investment, but also can provide the fund management company efficiency reference according to which to judge the operating abilities of the managers.As the traditional proof-testing methods mainly do researches from the visual angle of the fund's revenue and static state, it can't express the operating efficiency. Therefore, this paper analyses the dynamic efficiency and the stability of the efficiency from the visual angle of dynamic state and the ratio of output to input by using Malmquist index of total factors productivity method. Based on Malmquist index, we label the fund into different sorts and judge whether the efficiency persistence exists or not. In the first part of the paper, it elaborates the correlative theories about the assess of the fund' efficiency, and point out the shortcomings of proving methods in existence. Then it further illustrates the principle and mathematical models of Malmquist index. At last the paper do demonstration analyses with three funds. We score the fund's efficiency persistence by caculating the Malquist index, Technical Efficiency Changing index, Synthesis Efficiency Improving index, and establish a Persistence index according to the Malmquist index to resort the funds. The research indicates that: this method needn't to choose the market benchmark of funds, and does better in time persistence. Thus it is more scientific, more rational and more feasible.