China Stock Open-end Funds Performance Research Based On DEA And SFA

Resource allocation efficiency of financial markets has been the focus of research in finance, fund market as an important component of the financial markets and its efficiency has been attention to the vast number of scholars and investors.In recent years, with the rapid development of the securities market and gradually increase of people’s living standards, more and more investors choose to buy the fund. However, how to choose a good fund has been plagued by large investors. Therefore, the performance of the Fund has become a hot issue.Before 60’s in the last century, some scholars were used profitability as evaluation standards of fund performance. After 60’s of the 20th century, the fund performance evaluation generally gone through three stages:The first stage is based on a single benchmark CAPM-based performance evaluation model; the second stage is a multi-APT-based performance measurement baseline model; the third phase is based on methods such as PCM, DEA-based and SFA-based performance measurement model for non-benchmark.Since the data envelopment analysis and stochastic frontier analysis has its own advantages and disadvantages, and these two methods have been used to evaluate the efficiency, thus it is a deserved studying topic to confirming whether the fund performance was significant difference between these two methods. In this paper, reference to previous research based on the results, first I using factor analysis method to simplify the evaluation index system of fund, performance, and then were used data envelopment analysis and stochastic frontier analysis to measure the performance of the Fund during the evaluation period, At last, I use paired T test in order to test whether the fund performance was significant difference between these two methods.The paper is divided into five chapters, the main contents are as follows: The first chapter was a brief introduction the connotation to the performance of securities investment funds, the process of emergence and development of China open-end equity fund, and then describes the practical significance of this study and the methods to be adopted.The second chapter was briefly reviewed the work of domestic and foreign scholars in this field and give the note of the shortcomings of these research methods. In this end of this chapter, I give a summary of the comprehensive performance evaluation methods.The third chapter describes the research methods used in this paper, and to specify the advantages and disadvantages of data envelopment analysis and stochastic frontier analysis, Then the paper explain the selection principle of evaluate system and sources of sample data, In the end of this chapter, I had analyzing the results.First of all, I construct data envelopment analysis model. Secondly, empirical research pointed out that this sample of data mainly from the fund Guotai Junan’s CSMAR series of studies database, Hua An Fund-China Fund and the Morningstar database as well as the major fund management companies in China website. At last, I analyze the results of fund growth indicators, risk-adjusted performance indicators, Fund performance in the secondary market, fund fees,scale of the rate of change index, fund timing indicators and stock-picking ability.The fourth chapter included the following contents:First, I use a total of 16 indicators of standardized data in the SPSS software to conduct factor analysis, such as the growth rate of net worth, accumulated net growth rate, coefficient, coefficient of determination, stock concentration, industry concentration, units of the Fund’s operating expenses, the fund size of the market rates of change, Treynor index, Sharpe index, Jensen index, M2 measuringαvalue andβvalue of T-M model,αvalue andβvalue of H-M model, and I have got five common factor, namely the income factor, ability factor, investment style factors, risk factors,growth factors.Then I use the ability factor, investment style factors, risk factors as the input indicators of data envelopment analysis and stochastic frontier analysis, the income factors and growth factor as output indicators of data envelopment analysis and stochastic frontier analysis, I have calculated the efficiency o each sample funds through the Deap 2.1 Software and the Frontier Version 4.1 software, at last I use paired T test method to examine whether there is a significant difference between the DEA efficiency value and the efficiency of the value of SFA.Chapter V pointing out the inadequacies of this paper and the conclusions.The main conclusions of this paper are as follows:Through the empirical analysis of 38 equity open-end fund performance which issued before the year 2005 in the period of 2005 to 2008,we can find that only eight funds’s performance relatively effective, the remaining 30 Fund’s performance has yet to be improved, this conclusion confirm that in the whole the performance of equity open-end funds were inefficiency;Secondly, through the empirical analysis we also found that the high unit operating costs of the Fund not have great impact on fund performance, probably due to this fact-----the investor who give fund managers higher cost can generate incentive effects to make the fund managers work harder than those investors who pay lower cost to fund managers, It is no question that the fund managers who work hard would resulting in higher performance;In addition, from the indicators such as the degree of stock concentration and investment concentration, an average hold stock concentration and industry concentration of samples were high; it means that the fund manager’s investment style is more aggressive, it also means that most of the equity open-end funds were not effective diversification the risk.Finally, DEA and the SFA were used to measure the efficiency of the fund, and matching T test was used to test the results of two methods:we found that the result of the two methods has strong correlation and consistency.The main contributions of this article are as follows:1 In this paper, based on previous studies, from the following aspects make up for the inadequacies of predecessors:The size of the sample funds were small when predecessors evaluating the performance of fund, making the conclusions have some limitations, but in this paper not only chose the large funds, but also chose the small funds, which make the conclusions more representative. This paper uses DEA method and SFA methods to evaluate the performance of equity open-end fund, by comparing the results of two methods:there is some correlation to the results of two methods, but not strongly correlated. 2 In this paper, examine the performance of the Fund is no longer confined to the period of stock market upswing, but examine the period covered by both the stock market upswing and decline, makes the study more comprehensive. This study selected the period from January 1,2005 to December 31,2008, for four full fiscal year, compared the previous studies, the evaluation period is longer, so the results more reliable. In this paper, When selection of the factors affecting the Fund’s performance, in addition to taking into account indicators our predecessors have been selected, such as the average weekly net rate of growth, Sharp index, the average net asset value, net value of fund units, stock picking ability and timing ability, but also joined fund costs and fund size target, making analysis much more comprehensive and results more accurate, and provides a new perspective to the follow-up study.The main shortcomings of this paper is not taken into account the qualitative indicators such as fund manager’s personality traits, educational level and age, gender, which may lead to evaluation results to a certain degree of bias, follow-up study should combined qualitative and quantitative indicators to make performance evaluation more accurate.