Evaluation On The Performance Of Securities Investment Fund Based On The Cross-efifciency DEA Model

With the increase of national wealth, buying funds has become more and more investor’schoice to do the investment. But with limited energy and expertise, it’s hard for the investor topick up a suitable fund which fits for their expectation among the thousands of fundsavailable. Therefore, most of the investor will select mainly based on the performance rankingof the fund industry. Nowadays, China’s fund industry is still focused on revenue basedranking. This single indicator ranked only emphasized the benefits, ignored many of the keyfactors, including risk. As a result, this approach has a negative impact either to investors orfund managers. Therefore, building an objective multi-factors method for evaluating the fundis critical for the development of the fund industry.In this article, the cross-efficiency DEA model is used to assess the performance of10securities investment funds in2010. By building a two-stage linear programming whoseobjective function is maximizing the weight of revenue, the not unique problem of theoptimal weights are eliminated. The model selected the income standard deviation and theaverage share of cost as the input indicators, while the cumulative average met rate of returnand net asset growth are considered to be outputs.Since the effective DMUs are minority among the evaluated DMUs, and the not uniqueproblem mostly exists in the effective DMUs. Therefore, regardless of which two-stageobjective function, the changes of optimal weight is not large. And thus results of differenttypes of cross-efficiency model will be similar. The comparison between the modelconstructed in this article and beneficial、aggressive、ideal model shows the correlationcoefficients are more than90%.DEA model can both evaluate and improve the performance of DMUs. The method ofimproving DMUs’ efficiency under cross-efficiency model is constructed in this article. Sinceeach DMU will evaluated by any other DMU, so the process of improvement will be carriedon many times. The result shows that the efficiency of DMUs have largely enhanced...