| With the rapid development of China's open-end funds,closed-end funds have slowly emerged from people's attention.Open-end funds,especially hybrid funds among them,are increasingly becoming the first choice for people to invest.However,the construction of China's hybrid fund performance evaluation system is still far from the European and American countries.At present,the domestic performance evaluation is based on the foreign method and combined with the domestic market to evaluate the performance of the hybrid fund.The main performance evaluation methods are three major index methods and principal component analysis methods.Most fund companies and third-party rating agencies use performance-based evaluation systems based on three major indices,namely the Sharp Index,the Treynor Index,and the Jensen Index.This performance evaluation method is not a comprehensive method for evaluating the performance of hybrid funds due to the lack of analysis of relevant factors such as fund managers.Due to the strong correlation between many indicators of performance evaluation,the high correlation will lead to bias in the evaluation of hybrid fund performance.Therefore,principal component analysis reduces the dimensionality of various performance indicators.Principal component analysis solves the problem of too many indicators,but there are still some other problems.For example,different indicator selections often require rebuilding of the model,and the dimensions and units between the different indicators require a lot of time to process.Finally,the weight of its performance indicators is based on a linear fit.Due to possible problems with data selection,the output of the weights will not achieve the desired results.In order to solve the above problems,this paper chooses the data envelopment model(DEA)to evaluate the performance of China's hybrid funds.The DEA model has many advantages:First,DEA is a multi-input and output model,which can comprehensively analyze many indicators.Second,the result of DEA model analysis is whether the hybrid fund is relatively effective,not absolute.Therefore,the method does not need to deal with the dimension and unit of the hybrid fund too much.Third,the weight of the hybrid fund performance indicator is the optimal value obtained by linear programming,and the result is more scientific and effective.This paper selects 53 hybrid funds established before 2015 as a sample,and the research period is from January 1,2015 to December 31,2017.By analyzing risk income,fund manager operation ability and fund operation cost,the maximum retreat rate,beta value,yield standard deviation and position concentration are selected as input indicators to reflect fund risk;a value,timing and stock selection are selected.The ability is used as an input indicator to reflect the management ability of the fund manager;the cost ratio is selected as the performance input indicator reflecting the operating cost of the fund;the cumulative unit net value growth rate,the fund annualized rate of return and the fund share change rate are used as output indicators reflecting the fund performance.Based on the classic BCC model in DEA,after inputting these data into DEAP software,the hybrid fund is improved and ranked according to the efficiency value of the output and the size of the slack variable.Finally,the correlation between the star rating of the mainstream fund and the ranking of the hybrid fund is analyzed.The study found that there is a significant correlation between the ranking based on the DEA model and the star rating of the mainstream market.The feasibility of the DEA model in the performance evaluation of hybrid funds is verified empirically.As a good performance evaluation method,DEA can quickly help mixed fund investors to screen out investment targets;help fund companies and fund managers manage the funds under their jurisdiction;help fund regulators establish a hybrid fund performance evaluation system to promote China's hybrid fund market is developing fast and well. |
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