The Study On Investment Risk Measurement Of Open-End Fund In Lower Partial Moments

Global investment fund industry develop quickly after 1980s, open-end fund even goes into an explosive and flying development stage. The quantity and asset scale of global open-end fund amount to 54,120 and $1,283 billion respectively until September of 2003. Open-end fund arrived at China officially on September 11, 2001.Open-end fund has made important contributions to promote economic development, stable security market and so on in terms of the development course of abroad investment fund. Although open-end fund has possessed initial scale after several years' development in our country, its positive effect hadn' t developed to the full; on the contrary, it was criticized and censured by some people. Hence how to take effective steps to standardize the development of open-end fund and develop its positive effect to the full has become an urgent and important task which our investment fund industry faces to. In order to accomplish this aim, at first we must recognize every risk factor which open-end fund has and control it effectively. Because open-end fund has characteristics itself, namely, investors may buy or sell fund units depends on unit net asset value, and liquidity risk become the major risk that open-end faces to. If open-end fund wants to control liquidity risk, it is a basic way that tries its best to create excellent performance and control security investment risk. But if we want to control security investment risk properly, a good risk measurement index should be chosen firstly. The premise of risk control is risk measurement. Risk measurement index is the standard of measuring risk control effect, the more scientific risk measurement, and the more good effect risk control.Because this, this essay selects the problem of the measurement of open-end fund investment risk to research. We try to find a better index to measure the investment risk of open-end fund after comparing and analyzing risk measurement indexes now available, so that we can control security investment risk and liquidity risk better, standardize the development of open-end fund in our country and develop its positive effect to the full.Though there are many articles about risk measurement and risk measurement indexes now, articles about the study on investment risk measurement of open-endfund wore not many. Meanwhile, there are many defects in risk measurement indexes that they choose, and the essential properties of risk wart: not been reflect ed. To supplement the defects, this essay proceeds detailed comparison and analysis for some common and basic risk measurement indexes, considers LPMq (lower partial moments) as fairly a heller risk measurement index. LPM q not only have improvement on theory and also accord with reality and true psychological feeling of risk measurement. Finally, the essay has chosen three open-end fund as samples, used risk measurement index LPMq and the optimal LPM ' Portfolio Model of Harlow' s to make positive study, computed risk and return and optimized asset allocation rate of each fund. Thus it is advantageous for investors choosing fund in terms of the situation of risk and return of each fand. On the other hand, it is also advantageous for fund managers taking asset allocation rate as reference, summarizing lliemsel ves' faults on inve.sl.meiil, acciimnlal ing experience and establishing base for making investment decisions better in future.