Abstract: Data Envelopment Analysis(DEA)is a system analysis methodology which is widely used to evaluate relative performance.This paper introduces a multiple inputs-single output DEA model,which considers output as fund returns and inputs as management expenses,transaction cost and standard deviation,to evaluate securities investment fund performance.Subsequently,the performance in 2000,2001,and 2000～2001 of twenty closed-end funds that have listed before 2000 is evaluated.The main results are:Anshun,Pufeng,Xinghe and Jinxing are relatively efficient, Yuyang and Yulong are relatively inefficient in all evaluation periods,and their relative performance all shows short-term persistence;transaction costs per unit and fund returns ratio(not management expenses per unit and standard deviation)are main factors which affect relative performance (not absolute performance) of closed-end fund,especially for fund returns ratio.

Key words: closed-end fund, performance evaluation, Data Envelopment Analysis