A Study On Performance Evaluation Of Open-ended Fund In China Based On DEA Model

For a long time, open-ended equity fund is playing an important role in the fund industry. However, the traditional performance evaluation methods have a lot of shortcomings, which cannot cover every factor that influences funds’performance. Therefore, this paper adopt the Data Envelopment Analysis method(DEA) and its recent research result, the BCC model, to establish a new evaluation system which covers multiple factors, such as return, cost, risk, transaction features and so on.In the first place, this paper introduces the background and significance of the study. Then it recapitulates the previous study at home and abroad in fund performance evaluation, and according to which, it introduces its research method and content.In addition, this paper analyses the disadvantages of the traditional method and the advantages of the DEA method after summing up all kinds of previous methods.Then, we choose Expenses Rate, the Standard Deviation, and Investment Intensity Index as the input indices, Growth Rate of the Net Assets Value as the output index, the input-oriented BCC model as the evaluation model, to establish the evaluation system.In the end, we use the model to evaluate the performance of55open-ended stock funds between2013and2014, and discuss the relation between investment style and performance, the performance sustainability and so on. we find that (1)there are15funds efficient funds in2013and7efficient funds in2014,(2) there are5funds whose achievements can sustain in a short period,(3) the funds’performance have nothing to do with its investment style,(4) the results of DEA model are not consistent with the Sharpe Index. Besides, we discuss the reason for inefficiency and the method to improve performance with projection and slacks.