Comprehensive Evaluation Of Fund Performance Based On Multiple Three-stage Super-efficiency DEA Models

Fund management companies and open-end funds have a total of 13.43 trillion yuan in public fund assets.It increased by 1.8 trillion compared with the end of 2017.According to the trend of the total fund in the past five years,the future growth opportunities are huge.With the rising sentiment of the public investment fund,the fund industry continues to innovate,and numerous new fund products have emerged.As the cake grows bigger and bigger,the comparison and competition between the companies become more and more fierce,and the various funds are comprehensively evaluated,thus giving rational advice to fund investors and fund managers,etc.,as risk-averse funds.Investors avoid high-risk funds,select high-risk and high-yield funds for risk-preference fund investors,provide fund managers with enhanced fund performance,and provide FOF fund builders with a screening of relatively high-quality and efficient funds.The way is an important direction for fund evaluation research in the future.The research in this paper combines the various aspects of the fund to draw a comprehensive evaluation of the fund: First,based on the basic requirements of fund performance evaluation,analyze the performance evaluation principle that the effective unit in the DEA model can form the frontier and the invalid unit can approach the frontier.After comparing with the parameter method and the traditional DEA model,it is judged whether the non-parametric SE-DEA model is suitable for fund performance evaluation;the second is based on the superiority of the three-stage SE-DEA model that eliminates environmental variables,and the results of the one-stage SE-DEA model.Compare and judge whether the three-stage SE-DEA model is more suitable for fund performance evaluation.Thirdly,based on the Gini criterion,a variety of DEA models are combined,and a set of unique comprehensive efficiency is obtained by weighting;finally,based on the mechanism analysis and empirical research conclusions Provide corresponding countermeasures and suggestions from the perspectives of FOF fund builders,single fund investors and fund managers.The conclusions of this paper are as follows: 1.There are 6 effective funds selected through the three-stage SE-DEA model,and 11 effective funds selected by the first-stage SE-DEA model.And 83% of the sample funds selected through the three-stage SE-DEA model performed in line with expectations,but only 55% of theeffective funds selected under the SE-DEA model without considering environmental variables met the expected probability.2.The effectiveness of the ranking results under the three-stage SE-Gini-DEA model is 100%,which is better than the 83%validity of the results of the single three-stage SE-DEA model.3.The ranking results of fund performance for the FOF fund builder and the single fund investors screened out the effective fund after considering the environmental variables;we further calculated the efficiency value and the slack variable of the SE-DEA model to calculate the invalid fund.The direction of performance improvement provides the direction and extent of performance improvement for managers of a single fund.In order to accurately evaluate fund performance,this paper proposes the following suggestions: First,environmental variables must be included in the fund performance evaluation system in fund performance evaluation;second,in evaluating fund performance,it is recommended to use a three-stage SE-Gini that integrates various complementary DEA models.The DEA model is used as an evaluation method.