The Open-end Funds Performance Evaluation Based On The BG Extensibility DEA Which With A Negative Output

This paper first introduced the basic development status of domestic open-end funds, the risks, and then concluded the new results of DEA at home and abroad simply, after that, it introduced the traditional DEA model and the basic quality and theorem of its extensibility model. In accordance with the limitations of the traditional DEA in Fund's performance evaluation, after introduced the negative output (BG) DEA, this article proved its reasonableness in details, got the (BG) extensibility DEA in proportion, derived its good quality and analyzed its sensitivity. As a very important indicator in fund performance evaluation , "yield" often made negative and the Fund operation does not have the constant returns to scale, so this article bought in variable returns to scale at the end, 18 open-end fund's performance be evaluated by (BG) extensibility DEA which with a negative output.. The yield and VAR of the first half of 2007, the second half and the first half of 2008 be calculated by the fund daily net value data and historical simulation method, through the Fund's annual report and semi-annual report to calculate the corresponding period of the management fees and transaction costs, and take the management fees, transaction costs, VAR as the input indicators of decision-making unit, the yield as the output indicators of decision-making unit of to evaluate. After study we can find that the equity fund got the best relative performance but the mixed-type funds had a poor relative performance due the first half of 2007 in which the stock market was up run, but in the first half of 2008 when the stock market was down, the equity fund still got the best relative performance, the worst one was bond fund; The absolutely yield of most studied open-end funds with a short-term (six months) persistence, but the relative performance not; there is no absolute proportional relation between the open-end funds relative performance and the size of fund. and also there is no positive correlation between the absolute yield and the size of fund which the people think they have; through the projection analysis, we found the major causes which caused the fund null and void relatively are the risk of a negative control, a majority of the fund management unit costs and unit transaction cost is almost the same. Therefore, how to control the risk of Fund powerfully, and how to strengthen the effective management is an important way to improve the relative performance of the Fund.