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The Performance Evaluation of Open-end Funds Based on DEA

Author: WanJiaYou
Tutor: ZhouGuangWei
School: Southwestern University of Finance and Economics
Course: Finance
Keywords: Data envelopment analysis (DEA) Open-end fund Performance Evaluation
CLC: F832.5
Type: Master's thesis
Year: 2009
Downloads: 140
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Abstract

If the October 1991 establishment of the \As of October 2008, has set up a fund of 60, including 31 for the joint venture, under management 348 open-end funds, closed-end funds 34. The rapid development of the fund industry, on the one hand reflects the enhancement of China's real economy, it also reflects the capital market boom. However, we are seeing the development, should also see the rapid expansion of the crisis behind it - such a development is too fast too? How should we identify funds and cons? These are the theorists and the industry should be discussing. True sense of the securities investment funds in China's development, but more than 10 years, has yet to establish a comprehensive, authoritative, scientific performance evaluation system. Currently, the establishment of such a system, but it is very urgent and important, which both contribute to accurately grasp the value of the investment fund itself, but also help the management, fund holders and the public on the fund manager's supervision, guidance fund industry standardize their operations, the healthy development of the securities market to promote the standardization process. It can be said for China's securities investment funds to establish comprehensive performance evaluation system has become China's securities investment funds currently building a core issue of great theoretical and practical significance. At this stage, the mainstream domestic fund performance evaluation methods are the traditional means of factor models. Market benchmarks such methods need to select a specific factor model and the assessment results will naturally be affected by the researcher's subjective judgment. It is based on the traditional model of the serious deficiencies in the management of this paper has been widely used in the field of data envelopment analysis (DEA) to carry out the performance evaluation of an open-end fund the work, to avoid shortcomings of traditional methods, trying to establish a scientific theory in practice workable assessment framework. This paper is divided into five chapters, each chapter arranged following. The first chapter, the basic theory of securities investment funds and research status overview. Introduces the basic theory of securities investment funds, including concepts, classification and course of development in our country; same time, the part of the performance evaluation of domestic and foreign fund Research literature briefly tracing; Finally, this study points out the contents and Innovation place. Chapter II, securities investment funds performance evaluation methods outlined and compared. This section of the current fund performance evaluation overview of the main methods of presentation and compare the advantages and disadvantages between various methods. Meanwhile, the data envelopment analysis method the basic idea of ??the efficiency analysis framework, integrated DEA model theory and the relationship between sub-models, DEA model is the focus of analysis of the advantages and disadvantages for later carried out a theoretical empirical bedding. Chapter III, DEA model. According to principles of constructing indicators DEA model, a preliminary screening of the relevant input / output indicators, and a construction method for each indicator described in detail. Input indicators specific date yield VaR, opening size, ownership concentration, cash reserve ratio, the unit share of costs, output indicators are cumulative net rate of return, the end of the scale. Meanwhile, the evidence required for the use of DEA model (C2R model, BC2 models and ultra-efficient model), from theory to mathematical models for in-depth analysis. Chapter IV, empirical research. The third chapter based in part on the theoretical framework for the 2004-2007 sample period for stock funds, bond funds, hybrid funds sub-categories of the relative efficiency calculation and annual ranking performance persistence test efficiency decomposition, Malmquist index calculation and improvement work. Chapter V, Summary and Outlook. Empirical analysis on the summary and conclusions as set forth, and for the shortcomings of this study and follow-up studies to be discussed. This paper constructs a non-benchmark fund performance evaluation framework, and its specific contents include the following aspects: First, the overall performance of each group fund rankings, and found by comparing the relative efficiency between fund groups; Second, each group Do not fund performance persistence between the screening and testing; Third, the Fund relative to the overall efficiency of decomposition, and the use of Malmquist index dynamics on the relative efficiency analysis. Under the guidance of the above framework, through empirical research, this paper the following conclusions. First, the entire sample of the year, the average bond fund relative efficiency of the highest value, while equity and hybrid-type similar to the average values ??of relative efficiency, lower than the bond. This equity funds and hybrid funds are subject to market prices was greater than bond funds related. Second, the stock, bond, hybrid funds exist in the 2-year continuity. Meanwhile, bond funds and hybrid funds also to some extent exhibited three-year and four-year persistence, but the sample period is too short to follow-up testing. Third, the overall persistence that equity funds ranked inside the greatest change, followed by hybrid funds, bond funds, the smallest change. The results indicate that to some extent, affect the fund investments is an important factor in performance and risk. Fourth, the Fund relative inefficiency of scale efficiency is the main cause inefficiency. Voucher funds compared to equity funds, the scale efficiency invalid impact on overall technical efficiency is much smaller; while hybrid funds in the entire sample period, scale efficiency is invalid on the total technical efficiency when compared with both front to be small. Fifth, Malmquist index analysis showed that changes in securities market prices for EP (technical efficiency change index) effect is much smaller than TP (technological progress index), and thus domestic investment fund managers in how to promote technological progress becomes more important. Sixth, the reference set of analysis showed that the long-term with strong market competitiveness of the fund is small, but the poor competitiveness of the fund continued lack of competitiveness in the long term, but the phenomenon is widespread, proving once again that \. DEA model analysis method can not only avoid the use of traditional methods of defects, and can get richer conclusions. This method will be introduced to the field of fund performance evaluation and conduct series of in-depth study, it is the highlight of this paper lies. Meanwhile, the author of the work of other researchers on the basis of similarity made the following aspects of the study and innovation: First, expand the sample period and the number of samples to select more suitable input / output indicators, so you can make the model cover more funds assessment information , which is similar to the previous study do not have. Second, select a time-varying VaR as a risk metrics to better characterize the distribution of income of the Fund's risks. Although VaR risk measure research more, but combine it with the DEA model using less studied. DEA model and the accuracy of the data itself higher, so more precise risk characterization method is particularly important. Third, improving cross-multiplier model for relatively efficient fund performance persistence verification, have some meaningful conclusions. Fourth, the introduction of the Malmquist Index Fund dynamic efficiency change assessments, not just the efficiency of the use of traditional DEA model decomposition method to examine the efficiency of state, making the conclusion of the study is more abundant. Of course, this research is only at the stage of theoretical discussion as to its application to practice some work needs to go deep. On this stage, the combination on the basis that the following work is required. First, the indicators preference information into the DEA model, improving existing models. The basic DEA model and the actual operation of the Fund there are some differences, it should continue to develop new model to make it more in line with reality. Secondly, changing the single-phase samples of the length of time, or set a different length of time while the sample period, in order to investigate changes in the relative efficiency fund more situations to explore how long the best practice of the sample period. Again, this study is based on the type of investment fund on the basis of classification, and in subsequent studies by other indicators can be classified to examine. Finally, select more diverse input / output indicators for empirical research. Because of data envelopment analysis model analysis results were affected by the input / output indicators great impact on different indicators selected to evaluate the same fund, the result is likely to differ. What kind of indicators and thus more in line with China's current evaluation of the fund is no consensus, which requires additional indicators to be verified, and subjected to the test of practice.

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