A Study Of Relative Performance Evaluation Of Open-end Funds Based On The Investment Style

Scientific performance evaluation method is important to reflect the operationalstate of funds, and it is also helpful to investor, management company and supervisingdepartment. Performance evaluation of open-end funds needs to analyze the cost andincome comprehensively. And the funds can be distinguished from each other in termsof different performance. Fund investor can refer to the evaluation result forinvestment decision.The traditional performance evaluation methods only consider the risk and theearning, but neglect other important factors in the process of fund action. Therefore,this thesis chooses the DEA model of multi-inputs and multi-outputs to evaluate theperformance of open-end funds. The input indexes are standard deviation of net value,degrees of holding stocks, fee of subscription and redeeming, and yearly expense ratio.Thus the risk, liquidity, cost and expense are all considered in the performanceevaluation. The output indexes conclude cumulative melon and return of net worth.The two output indexes represent not only the expected earning but also realizedearning. The DEA model meets the comprehensive request, and the result ofevaluation is objective. The investors are offered a feasible instruction to invest.This thesis thinks that an inseparate relationship exists between the investmentstyle and fund performance, which has reached an agreement of many scholars. Theinvestors choose different style funds based on their different risk preference, namely"To choose open-end funds is to choose investment style". This paper classifies thefunds based on the description of investment style and investment goal in conscribingdocuments. By using DEA model and analysis of variance. It can be verified whetherthe correlation exists between investment style and performance. The result indicatesthat the classification of the passive style, active style and bond style is obvious. Butthe value style, growing style and balanceable style have a consistence trend ininvestment style, and the performance of them hasn't obvious difference. Then, byusing the result of DEA model, this thesis gives the direction and amount to improvethe funds performance.