Research On Performance Of Quantitative Fund In China Based On DEA

For nearly more than and 10 years,there was the big change of the stock market in China,people generally use fundamental analysis based on subjective judgment to invest stock;Quantitative investment is essentially the same as traditional investment,it guarantees the objectivity of investment,there is a total of 126 quantitative fund since the first quantitative fund raised in 2002;FOF investment has become the new focus of the financial market since the FOF draft issued in 2016,FOF investment is to fund products for investment targets,at present,the fund performance evaluation and attribution analysis is the core of FOF investment.In this context,many fund evaluation company,fund managers in order to provide investment advice,investment and operation ability of optimization,even FOF layout,will have on the performance of the fund as one of the most important work,and the invested a lot of resources.In this paper,through the DEA to study the efficiency of China's quantitative funds,followed by the performance attribution analysis of the quantitative fund through T-M model,the final inspection is the quality of the stock selection and timing model,through a series of research,to understand the status of China's quantitative funds,provided the reference material for investors and fund managers.The conclusion of this paper is:most quantitative funds in China is relatively ineffective now,there is a big difference in market timing and stock selection,a different classification of quantitative funds focus is not the same balance.