| Securities Investment Fund is an an investment organization, which according to the basic principles of joint investment, risks and benefits of sharing, and via the issuance of security investment fund units, gather joint investors’ funds together to invest in securities to achieve the desired purpose. The establishment of Fund Kai Yuan and Fund Kai Tai opened the prelude of the development of securities investment funds in China.After ten years’ development, China’s fund industry has made remarkable achievements. Up to September 31,2010, China had a total number of 848 funds, 737 open-end funds,45 closed-end funds,66 money market funds, respectively from 60 fund management firms. Funds’ role playing in the capital markets becomes increasingly significant in this context. The study of our funds’ performance has important theoretical and practical significance. Early in 1950s, there were many foreign scholars researching in fund performance evaluation. Classical methods, including Sharp index, Jensen index, and Treynor index which were employed before continued to improve in new research. However, many scholars keep improving the three major indices or introducing new research methods. Murchi, Choi and Desai (1997) for the first time introduced the DEA model to the fund performance evaluation for the first time, and overcame the defects of the over-reliance on the referential benchmark. Gradually more scholars conducted DEA model to evaluate fund performance. The DEA model is in constant improvement, hence empirical results were more relevant. There is no big breakthrough in domestic fund performance studies, mostly referring to foreign methods and theories. Then this paper introduces the concepts of securities investment funds, traditional fund performance evaluation theory, and the DEA model. On the basis of the above theories, this paper makes an empirical research of performance evaluation on the 108 open stock type funds which were established before July 1,2007. The period of study is July 1,2007 to June 30, 2010. Input indicators including square root of semi-variance, average rate of cost in profit, unit cost rate of assets, and change rate of fund shares are employed, while average monthly yield the right of complex, net asset value growth rate are used as output indicators, and a simple sequence weights is set. Since risk and return are the core elements for investors and fund managers, naturally their weights are bigger than other input indicators and output indicators. Traditional DEA models can not compare decision units whose efficiency value is 1, I use super DEA model. In the super-efficiency model, the efficiency value of non-effective decision units is the same with the traditional DEA efficiency value 1, and it can compare the decision units whose efficiency value is 1. From the empirical results I find that only 20 funds are efficient, that is, most of our stock open-end funds are in inefficient operation, but there is not a big gap between the efficiency values. Most of the funds’ performance is consistent with their investment style. Through the slack variables of model, I can fund the reason why some funds are inefficient, and suggest directions for improvement. In this paper, I select one fund stock to elaborate. In the persistent study of the fund, I find that the most funds are not sustainable. In terms of scale, most funds are increasing their scale, and many effective funds are decreasing theirs. Finally, based on the empirical results and the actual conditions in China this paper proposed some policy recommendations, including:to establish a sound scientific fund rating system; to improve the information disclosure system of the securities investment fund market; funds should enhance the flexibility of operation; funds should enhance investors’ education; funds should innovate new products; our country should improve relevant laws system and strengthen supervision and management of funds. |
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