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The TOPSIS Method Modified by DEA Model Used on the Sunshine Private Funds Performance Evaluation

Author: JiangKuan
Tutor: YiZhi
School: Zhejiang University of Finance
Course: Finance
Keywords: Sunshine private funds TOPSIS method DEA method Performanceevaluation
CLC: F224
Type: Master's thesis
Year: 2013
Downloads: 107
Quote: 0
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Abstract


As a late starter in China’s securities market, sunshine private funds make agreat development in recent years, its asset size and scale in securities market shows asignificant increase, make it to be a important force in securities market. In recent years,the research of fund performance evaluation mostly focus on public funds, however, asa vital form of informal finance, sunshine private funds lack of research achievementsof academic circles. The evaluation method used by fund rating agencies mainly aboutrisk-adjusted returns, on base of this methods, follow the principle of scientific andpractical, aim at refer to the ideology of academia to set up a reasonable andcomprehensive method of sunshine private funds performance evaluation, so it will be acertain significanceThis paper is about the performance evaluation of sunshine private funds, on thebase of both the domestic and foreign research, choose five evaluation index includerate of return, risk, risk-adjusted returns, selectivity and timing ability of fund managersto establish the performance evaluation system of sunshine private funds. This papertake81sunshine private funds that setted up before Jan1,2008and still operating as thestudy sample(sample period is from Jan1,2008to June1,2012). We calculate eachevaluation index of the sample, and then compute the synthesized indicators usingTOPSIS method. Whereas, the TOPSIS method neglect input-output efficiency of funds,bring about the problem of result distortion. Therefore, we bring in DEA method, usingthe two solutions of both the input-oriented DEA model and the output-oriented DEAmodel to build a performance adjusted formula to adjust the result, and analyze thisresults to draw a conclusion. Empirical studies have shown that the adjusted result takethe input-output efficiency into consideration, make it more rational than before.This is made up of five parts as follows: Chapter one: Introduce the backgroundand research significance of this paper, then expound this paper’s research tracks andstructure. Chapter two: Introduce the fundamental information of sunshine private funds,and then summarize the current situation in fund performance evaluation industry athome and abroad. Chapter three: Elaborate the theories and methods of fundperformance evaluation, and establish a sunshine private fund performance evaluationsystem include five indicator with this methods and used the TOPSIS method modifiedby DEA model to analyze sunshine private fund performance. Chapter four: Make a empirical analysis on sunshine private fund performance evaluation based on theTOPSIS method modified by DEA model, and draw empirical findings and conclusions.Chapter five: Summarize this paper, point out shortcomings and the research directionin the future.Some research methods are adopted in this paper, such as qualitative analysismethods, quantitative analysis methods and methods of comparative analysis.Qualitative analysis includes the choosing of sample and sample period. Quantitativeanalysis is used in the calculation of each indicators, composite indicator and adjustedresult. Comparative analysis contains the compare of composite indicator result andadjusted result, in order to show the later is more rational.The innovations of this paper mainly contain several following components:(1)There are few domestic empirical paper about sunshine private fund performanceevaluation, this paper could be an attempt in this aspect.(2) The TOPSIS methodcombined with input-oriented DEA model and output-oriented DEA mode are used inthe sunshine fund performance evaluation for the first time.On the background that sunshine private funds make a increasingly far-reachinginfluence on domestic securities market, this paper could afford a comprehensivemethod to evaluate fund performance, therefore this paper has a theoretical value andpractical significance. This paper may helps the investors rational choose the sunshineprivate funds, guides the sunshine private funds companies improve self-awareness,conduces to introduce benign competition model to this industry, and also plays anactive role in attracting social resources and optimizing the allocation of resources.

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