Fund Performance Evaluation, Based On Data Envelopment Analysis

The traditional methods of funds performance appraisement such as the Sharpe, the Treynor and the Jensen are limited in a number of ways , while the DEA (Data Envelopment Analysis,DEA) approach is able to improve the accuracy of performance appraisement in ways of settling the distortion of appraisal results arising from the selection of different market portfolios and the inappropriate rate of risk - free returns. Applying the DEA approach, this paper makes appraisals of 32 close- end investment funds performance between 2002 and 2003.And we find that 1/3 of the investment funds that we have studied are inefficient, and there is no performance persistence, no size – effect, and no great relevance among the close - end investment funds under the same fund management corporation.The reason why the most of the investment funds are inefficient is that the costs of the fund management corporations are high and risk of market is much exposed.