The Performance Evaluation Of Open-Ended Fund In China Based On Dea

With the advent of the liberalization and diversification of the financial markets, investors have more choices. Because the Securities Investment Fund can access to capital interests in the bull market and spread the risks in the bear market by the dispersion of investment. So, it loved by the investing public and flourishing. Together with the tradition banking and insurance, forming a tripartite confrontation financial structure. According to the China Securities Investment Fund Industry Report Statistics in the first half of2010, as of June30,2010, there are various types funds, and654Open-ended funds managing divided by the60fund management companies, and the net asset value total2.0293trillion yuan. Facing to the range of types and quantity funds provided by the securities investment fund management companies, the investors how to choice a suitable fund in order to obtain the profit under the smaller risk? Therefore, it has very important significance to establish and improve the system of the fund performance evaluation, and to evaluate the relative performance of the fund on comprehensive and objective.In this paper, we use the DEA method to study the relative performance of the40Open-ended funds which established before December31,2004. The set of outputs comprise the average of the portfolio return and the traditional performance, such as Sharpe index, Jensen index and Treynor index. In particular, among the inputs, we have different risk measures of the portfolio return, the average of the VaR of the portfolio which is based on the GJR model and Asymmetric Laplace distribution, standard deviation of returns, and we also have the subscription and redemption costs which directed effect in the investors. In this paper, we adopt the Super-SBM model which can be used to measure the relative performance of open-ended funds. And take the correlation analysis of the rank of the traditional three evaluative indexes with the Super-SBM model and the BCC model. At the same time, we introduce the Malmquist index to study on the trends of the efficiency of the Fund’s portfolio management, and to analyze the root causes of changes of the efficiency.The results show that:(1) The overall performance of the China’s Open-ended funds is low, and the resource utilization and management efficiency is low. And there are different levels of resource waste.(2) As partial shares of the Fund in China in the majority, so the fund market influenced by the stock market. And there is clear linkage between the fund performance and the market index.(3)The total factor productivity for the open-ended fund decreased slightly in the evaluation period, and the direct cause is the decreasing in both the technical chang and the pure efficiency change.