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The Performance Evaluation Of Open-ended Funds Based On Super-radial DEA

Posted on:2015-12-05Degree:MasterType:Thesis
Country:ChinaCandidate:G L ZhangFull Text:PDF
GTID:2309330422480848Subject:Finance
Abstract/Summary:PDF Full Text Request
With the rapid development of China’s mutual funds, open-ended funds is playing an increasinglyimportant role in the stock market. The current return-oriented performance evaluation methods arenot comprehensive enough to cover every aspect of factors that influence funds’ performance.Therefore, this paper adopt the Super-Radial DEA model (SR DEA) to establish a new evaluationsystem with multi-dimensional factors, such as risk, risk return, manager’s ability, investment features,cost and transaction features.The first part of this paper gives a brief introduction of China’s fund market, stating the significanceof the study. Then, after summing up the previous study in fund performance evaluation, it gives aSR-DEA model which calculates the input-output efficiency of open-ended funds. The input indiceswe choose are Risk-Return Index, Pure Risk Index, Investment Intensity Index and ShareholdingLength Index processed with Principal Component Analysis (PCA). The output indices we choose areReturn Index and Profit Index that positive and standard after transformation.We use the model to evaluate the performance of60open-ended stock funds between2009and2012, and discuss the result from aspects of different market period, fund scale and investment style.We find that when the market is strong, medium-sized funds and value funds have better performance.When the market is weak, medium-sized funds and growth funds are more efficient. We also discussthe reason for low efficiency and the possibility of improving funds’ performance with projection andslacks, and calculate the performance correlation between fund companies and market periods.In the end, we give some suggestions to fund companies, regulators and investors according to theabove conclusion.
Keywords/Search Tags:Open-ended funds, performance, super-radial DEA, principal component analysis, fund scale, investment style
PDF Full Text Request
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