Portfolio Performance Evaluation Based On Index DEA

Portfolio efficiency evaluation is a hot topic in investment research, which mainly focuses on building a model and searching for an optimal investment scheme all over the world. But there is little research on portfolio efficiency evaluation and even less on it using data envelope analysisIn this article, the author reviewed classic Markowitz portfolio theory and data envelop analysis model,and then the author re-defined the efficiency of multi-stage portfolio. Multi-stage model is a hot topic in current data envelope analysis research.However, existing studies in DEA model mainly set the input and output of the subject as the desirable indicators, thus making it impossible to differentiate the nature of input and output. In this article, on the basis of two indicators, i.e. undesirable risks and desirable benefits, the author firstly determined the type of input and output, and then built an Index DEA model and a super-efficiency Index DEA model. Meanwhile,the author built multi-stage portfolio based on network Index DEA model and production possible sets.In the empirical analysis phase, the author chose 60 open-ended funds in China,which including stock-based, bond-based and mixed funds. By comparing the efficiency produced by Index DEA model, the efficiency produced by Index DEA super-efficiency model and multi-stage investment portfolio performance based on network DEA, the author divided the result of efficiency during market weakness period and that during market strength period, then made an efficiency comparative analysis for funds and fund managers of different styles and different scales. Finally,the author verified the soundness and feasibility of estimating multi-stage portfolio based on network Index DEA model, extended the multi-stage portfolio evaluation theory, demonstrated the superiority and soundness of the model built in this article,and put forward new and superior method for fund evaluation. As proved the models to be correct,this article made a conclusion that middle-size funds performed best in market weakness period while small-size funds performed best in market strength period. Therefore,according to different preferences,investor can choose different evaluation methods to make suitable for their own preferences to the fund types under different market conditions.