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The Empirical Research On Performance Evaluation Of Open-ended Security Investment Fund In China

Posted on:2009-04-07Degree:MasterType:Thesis
Country:ChinaCandidate:J WangFull Text:PDF
GTID:2189360242988214Subject:National Economics
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With continuous establishment of new funds and super conventional development of fund industry in China, it has become increasingly important to make a proper monitoring,analysis and evaluation of the performance of the fund, In this context, this paper tries to resort to evaluation methods of west securities investment performance and exploring the characteristics of China's stock market performance evaluation method, thus offer the reference for fund investors, regulators, fund management companies as well as the development of the fund industry.The article draws on the mature western economic and financial theory.then, using modern portfolio theory, capital asset pricing model, arbitrage pricing theory and the efficient market hypothesis on China's securities investment funds evaluation of the performance on a theoretical study.The author chooses 41 funds which have been issued before the Sep.31 2004 as the research objects in the process of the study and the sample period from Jan. 1 2005 to Dec.31 2007.This paper adopts single-factor,T-M and H-M models,factor analysis and cluster analysis which are used to value the performance of open-ended fund. The conclusion is that funds show certain ability of diversifying risk ,but they still bear much unsystematic risk ;the earning rate of 41 open-ended funds in our country is not higher than that of market benchmark portfolios on the whole; after risk adjustment, the performance of open-ended funds is better than the market benchmark portfolios; China's fund managers have good stock picking and market timing ability and they do not exist the obvious negative correlations between them; Fund performance in China has some continuity but it is not significant.In the comparative analysis of the above indicators on the basis of performance from the fund, four of the eight indicators are selected by principal component analysis to simplify the evaluation of information.Three public factors stand out by the rate of contribution as a final weight of the comprehensive evaluation results. According to empirical results the article gets the conclustion that the impact of the performance of the main factors in the total disposable is income average, Treynor index - the opportunity receipts factor. Cluster analysis shows the homogenization of open-end fund in China is rather serious.Finally, the article tries to analyze and explain the differences from different methods in theory, and put forward the corresponding policy recommendations.
Keywords/Search Tags:open-ended funds, performance evaluation, factor analysis, cluster analysis
PDF Full Text Request
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