An Empirical Research On The Performance Evaluation Of Chinese Open-end Funds Based On Data Envelopment Analysis

The efficient operation of open-ended funds in China has promoted the development of capital market and development of capital market inversely provides much more growing room for funds. Under this circumstance, proper supervision, analysis and evaluation of the funds performance become more necessary.Sharpe Index, Treynor Index and Jensen Index are all representative methods of evaluating risk-adjusted performance of funds. However, the validity of those methods is under discussion. According to the limitation of available methods, DEA approach is put forward to funds evaluation. DEA overcomes the distortion which happens because of the difference of benchmarks. It is also able to measure how some factors work on the evaluation result and has predominance comparing to parameter approach. From the points of risk, return, fees, and scale growing rate, this paper evaluate 42 open-end funds performance from Jan, 2005 to Dec, 2007.According to the result, almost one-sixth funds are DEA efficient; other funds are relatively inefficient, so that the whole funds market is not very efficient; the average weekly returns are all relatively efficient; half the funds have lower scale growing rates than ideal rates. The analysis also shows litter correlation between scale growing rates and fund returns. The factors accounting for the inefficiency of funds are system risk, operating cost, non-system risk and total risk.