Performance Evaluation And Factor Analysis Of Mutual Fund

In Mar 1998,fund Jintai and Fund kaiyuan, which copyingframework of foreign mutual fund management, were issued and listed.For they are under regulation and operate transparently, These mutualfunds expand quickly and become the main stream of fund industry aswell as important institutional investors.During the development of the mutual funds, they obtain someachievements and win the notice of many investors, at same time, theyface many problems and often have been criticized by many people.So,what's actuality of mutual fund in China? what's problems they face?how about mutual performance and how to evaluate the mutual fundperformance? etc.,many of which need further research.This dissertation focuses on mutual Fund performance and factoranalysis in China. It discusses three topics about fund performance:1)evaluation of mutual performance;2) performance of mutual fund inChina;3) and what factors affect the performance of mutual.Chapter 1 introduces the motive of research, the chance of researchand logic structure of this dissertation. Chapter 2 reviews thedevelopment of mutual fund and policy background. Chapter 3 reviewsthe literatures in this area. Chapter 4 uses several methods to evaluate theperformance of mutual fund. Chapter 5 analyzes the investment styles ofmutual funds. Chapter 6 investigates the ability of market timing andsecurities selection on mutual fund. Chapter 7 describes some charactersof mutual fund and fund management companies, and investigates therelationship of some characters and mutual fund performance.Based on above study, I find, in sample periods, 1)many mutual fundobtain excess returns;2)the investment styles of mutual are blurry;3)manymutual funds do mistiming market, and only few mutual funds havemarket timing ability;4)some evidence shows that some mutual fundshave securities selection ability in some years but withoutpersistence;5)the mutual funds under management in same company areof similar performance. Also I find ,in China ,when you evaluate themutual fund performance, the NAV return rate and Sharpe ratio are yourbetter choice.