Quantitative Fund Performance Appraisal Based On Dynamic DEA Model

With the listing of the Shanghai and Shenzhen 300 stock index futures in 2010,Chinese quantitative funds started their large-scale,systematic development.Under the volatility of the domestic stock market in 2015,the overall performance of the quantitative fund was remarkable,and it gradually obtained the attention of investors.However,in the case of changes in stock market styles in recent years,the performance of quantitative funds have been frustrating with the severe differentiation.Therefore,based on the dynamic DEA model,combined with market conditions to accurately evaluate the performance of quantitative funds,we can better make fund investment choices.Considering stock market situation,the DEA model is used to conduct a comprehensive performance evaluation of 38 quantitative funds established before July 1,2014.The principal component analysis method is used to extract the risk factor and use it as one of the input indicators to build the DEA model.The empirical results show that the active quantitative,passive stock index and enhanced index funds performed well in the bull market except for the quantitative hedge funds.The bear market period was just the opposite.During the consolidation period,the divisions of the quantitative fund performance were more distinct and the performance of the index type was better than that of other types.Regardless of the market,the fund size had little effect on the total efficiency of the fund.The dynamic DEA model is used to rank the performance of the quantitative funds during the overall evaluation period.The number of index-quantitative funds in the top ten were more than other types.Also,the empirical research are conducted to calculate the timing and stockchoosing ability of quantitative funds in different stock market situations.From the perspective of management ability,it is proved that funds with stronger stock selection ability were more likely to achieve pure technical effectiveness in DEA model,which adds the results of the DEA model performance study.In addition,based on pure technical efficiency,scale efficiency,and DEA model projection analysis,specific improvement directions and adjustment values can be provided for invalid funds.