基于三阶段DEA的股票型基金投资绩效研究
A Study on the Investment Performance of Equity Funds Based on Three-Stage DEA Method

近年来，随着中国资本市场开放程度加深、资管新规落地以及投资者对风险调整后收益的关注度提升，基金绩效评估逐渐从单一收益指标转向多维度综合效率分析。然而，传统评估方法多聚焦于单一风险收益维度，难以全面反映基金运营中投入产出的复杂关系。本文应用三阶段DEA模型方法，研究中国开放式股票型基金的投资绩效。研究选取费率、Beta、下行风险和基金规模为投入变量，复权单位净值增长率为产出变量，基金经理平均年限、团队稳定性、滞后一期复权单位净值增长率为环境变量，测算样本基金的DEA效率。对有效组与无效组基金在最大回撤、Sharpe等指标维度进行比较，结果显示：DEA方法选出的有效基金表现较好。
In recent years, with the deepening openness of Chinese capital market, the implementation of new asset management regulations, and the increasing focus of investors on risk-adjusted returns, fund performance evaluation has gradually shifted from single-dimensional return metrics to multi-dimensional comprehensive efficiency analysis. However, traditional evaluation methods predominantly focus on a single risk-return dimension, making it difficult to fully capture the complex input-output relationships in fund operations. This study employs a three-stage DEA model approach to investigate the investment performance of Chinese open-end equity funds. The research selects expense ratio, Beta, downside risk, and fund size as input variables, the growth rate of adjusted net asset value per unit as the output variable, and the average tenure of fund managers, team stability, and lagged one-period growth rate of adjusted net asset value per unit as environmental variables to estimate the DEA efficiency of sample funds. A comparative analysis of the efficient and inefficient fund groups across metrics such as maximum drawdown and Sharpe ratio reveals that the DEA-selected efficient funds exhibit superior performance.