Research On Quantitative Fund Performance Based On DEA Model

The development of the securities industry has driven the development of the national economy.In the securities industry,the fund has always been a hot spot in the investment market.With the continuous development of science and technology and the application of computer technology in the securities market,a more professional and unique fund-quantitative fund has appeared in the fund market in China.The quantitative fund is different from the general open-end fund.It mainly relies on computer technology and manages investment portfolios using quantitative investment methods such as statistics and mathematics.Quantitative funds have developed rapidly after 2012.As of the end of2016,there are 187 existing quantitative funds in China.However,since 2017,the status of the quantified funds is not optimistic.The average returns of the publicly-funded quantitative funds with a duration of more than one year is only 6.64%,of which only 22publicly-funded quantitative funds have a higher yield than the CSI 300.Correctly understanding the performance of quantitative funds is the key to investors' choice of investment.This article first sorts out related literature on quantitative investment and performance research at home and abroad.Based on the characteristics of quantitative funds,it uses the open fund performance research system to build input and output indicators of the DEA performance model,and uses the principal component analysis method to filter out input indicators.Significant indicators,the establishment of a DEA performance model of quantitative funds;then a dynamic and static analysis of the efficiency of quantitative funds,multi-level research to quantify the performance of the fund;the final comprehensive research results,recommendations for investors,fund management companies and fund regulators.This article selects 79 quantitative funds established before September 1,2014 as the sample for this study.The evaluation interval is from September 1,2014 to September 1,2017.The empirical results show that the results of using the DEA model to study the quantification of fund performance are consistent with the actual market rating of the fund.Through the comparison of performance,we can find that growth-style quantitative fund performance is better than balance-style quantitative funds and value-style quantitative funds;quantitative funds do not have economies of scale;smaller-scale funds have better performance;quantitative funds using multi-factor strategies are the most,but their performance is not the best.Overall,the performance of quantitative funds is continuous,but this continuity cannot be guaranteed and it is not significant.