The Study About Mutual Fund Performance Evaluating And Style-Adjust Performance Evaluating

For attracting investors to invest the mutual fund and having theadvantage status in the market competition, mutual fund managers adopt thevariational investment strategy one after another. The variation investmentstrategy promotes the investment style formation. The investment styleformation proposes the new challenge for the fund performance evaluatingtheory. Between the discussion fund investment style and the fundperformance inner relationship, introducing the style analysis in the fundperformance evaluating, has the important theory and practical significance.This paper main body part mainly divides the theory introduction andthe empirical analysis. In the theory introduction, the writer first detailedlyintroduces the mutual fund investment style analysis correlation theories.Then, the mutual fund performance evaluating theory is introduced by thenumbers. First, the fundmental theory of mutual fund performance evalu-ating is introduced. Second, three classic indexes of mutual fund risk-adjustperformance evaluating theory is introduced. Last, mutual fund style-adjustperformance evaluating theory is introduced (Including the adjust SharpeIndex which is put forward by the writer).In the empirical study, in order to get an accurate result of style analysis,four different methods are used here and differences among them are putforward. The empirical study is processed by the two style-adjust performan- ce evaluating methods of predecessor. Then we compare our result with thatof classic risk-adjust performance evaluating indexes. The differencebetween them and the significance of style-adjust performance evaluatingmethods are presented. In the mean time, the adjust-Sharpe Index is putforward, and corresponding empirical study is carried out. Then the result iscompared with the un-adjust-Sharpe Index. In the end, we pick the styleindex as the benchmark of performance evaluating and get an empiricalresult. Then we compare the result with that of the risk-adjust performanceevaluating index which takes market index as benchmark.The result of the empirical study shows that the difference is compa-ratively big between the result in return-based analysis (RBS) which appliedzhongxin style index as the representative of type of the market index andthat other three kinds of methods reached; but, the result getting from otherthree kinds of methods approaches comparatively, so we can get theconclusion that the accuracy of the result in RBS is not good if we choosethe improper representative index; and it lead to a bigger difference betweenthe style-adjust performance evaluating result which use the result in RBSand that which use the result in other methods; through comparing the adjustSharpe Index with the un-adjust Sharpe Index we can get whether theperformance is better or worse after changing investment style; if we carryout performance evaluating which takes style index as benchmark, we canget more objective result than that which takes market index as benchmark.