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The Study On Assets Allocation Of Open Fund

Posted on:2007-01-09Degree:MasterType:Thesis
Country:ChinaCandidate:J LiuFull Text:PDF
GTID:2179360182971565Subject:Finance
Abstract/Summary:PDF Full Text Request
The Chinese Open Fund was first set up in 2001.At the end of 2005, there are about 150 pieces of open funds, which total net value is about 250 billion RMB. In general, Chinese open fund industry goes through a rapid development, but both chances and challenges still exist in this new field. Just take the challenges for example, as the redemptive pressure and eliminating mechanism become more and more important, the management Corps of open fund have to suffer the severely competition from the following aspects, such as how to manage the liquidity of assets more effectively, how to allocate the assets more rationally and how to control the risk more strictly. All the above problems will be a long issue which we have to deal with.This paper mainly focuses on the challenges of assets allocation in Chinese open funds. According the concrete operations of fund Corps, this paper will put the keystones on the following three points: first ,the study in cash proportion of open fund; second , the study in investment strategy of open fund ; and the third, the study in the performance of assets allocation.This paper also brings forward some useful statistics indexes which describe status quo of development, characteristics of holding shares , operating strategy on Chinese open funds. The basic conclusions of describing statistics analysis are:1. Chinese open funds have the operation of reduce the risk in investment, but their performance is not as good as basic indexes.2. The holding shares concentrating degree and industry concentrating degree are all relatively high. It means, during the studying period ,the Chinese open funds prevalently adopt "concentrating investment" strategy. But from the similitude degree of holding shares in Chinese open funds, they are not client to cross holing shares in the "weightily stocks", but prefer to "fight by themselves".3. On the one hand, the Chinese open funds adopt the long-term holding strategyon weightily stocks, while on the other hand, they are also high on non-weightily stocks with using short-term operation. 4. Obviously there is chosen-time behavior in the Chinese open funds. But onthe whole, this behavior is not very successful.The empirical study in this paper examine 16 pieces of open fund stylebook, whose data is from Jan. 1,2003 to Nov.31,2004.The main conclusions are:1. No matter use yield index or varieties of risk index to weigh the performance of open funds, the whole performance of Chinese open funds is not as good as basic index.2. The analysis to the choosing stocks and choosing exchange time shows that the whole performance of Chinese open funds can not foresee the future trend of market, and does not have the superior choosing stocks ability. It means that even in such new securities business in China, the market is still very efficient.At last after summarizing the describing statistics analysis and the empirical analysis, this paper gives some advice which point to improve the assets allocation of the Chinese open funds. These pieces of advice face to three colonies: the supervision apartment, the open fund Corps and the investors.
Keywords/Search Tags:Open Fund, assets allocation, cash proportion, Fama Model, BHB model, IK Model
PDF Full Text Request
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