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The Analysis Of Performance Evaluation On China’s Open-ended Equity Fund Based On VaR-RAROC

Posted on:2013-10-04Degree:MasterType:Thesis
Country:ChinaCandidate:D ZhangFull Text:PDF
GTID:2249330377454883Subject:Financial engineering
Abstract/Summary:PDF Full Text Request
In recent years, with rapid development and continuous improvement,the securities market in China greatly promoted the development of China’s fund industry. With the growing number of fund products and continuous regulation in the fund market, the investment on the fund products is also showing a rising trend. Therefore, it is very necessary to evaluate the performance of investment funds.Open-enden Equity fund is the mainstream products of the fund industry. In terms of Open-ended equity fund, active portfolio management demands a higher requests on the investment behavior of fund managers,which has a direct correlation with the performance of the Fund. Thus, a reasonable evaluation on the performance of open-ended equity funds is an important driving force to promote the development of the fund industry healthly.The research in this field has been more mature, and also has outstanding results in the Western developed countries led by United States.In spite of expansion both in size and quantity, the evaluation on the performance of the fund,comparely, is lagging behind.At present, most of the research and practice in our nation only applied foreign mature theory to the fund performance evaluation. And there is no unified evaluation system;In addition, some traditional funds evaluation index itself has some shortcomings; Moreover, China’s securities market started lately and is not standardized, becoming the bottleneck of further development of China’s fund industry.First of all, as for investors, analyzing the performance of the Fund protects them from following some inaccurate information and then resulting in the loss and enhances their confidence.Moreover,based on the fund performance evaluation system,the regulatory authorities can evaluate fund objectively, provide scientific and reasonable proposal on the regulation and can amend and improve existing regulations. Finally, with the scientific and rational evaluation system, the management level of the fund managers can be quantitatively evaluated.It is helpful to find the deficiencies of the existing investment program summarize the management experience and then improve operational efficiency.More importantly, objective and accurate fund performance evaluation on fund managers can be served as a strong external constraints and incentives for investors to seek the maximum benefit.Firstly, this paper clarifies systematically the research conditions on fund performance evaluation from domestic and foreign.Then the evaluation method of evaluating fund performance analyzed in this paper is introduced. Empirical Analysis will be provided in the latter part.Based on the empirical analysis,I get the following conclusions:1. The yield probability distribution for different funds is different at different stages. VaR value is relatively small in the rising phase of the stock market while large in the stage of declining phase.2.Results of ranking fund performance vary widely at different stages. The index fund performs better in the rising stage while the growth fund performs better in the declining stage.3.The performance whose fund produces belong to the same fund management company shows certain correlation.The fund products managed by a management company rank in the front while the products managed by anather management company rank at the back.Based on the above conclusions, we give the following recommendations:1.Supervision and management departments should conform to Chinese economic trends to the appropriate supervision and management of securities investment funds. When the economic situation is good, stock market keeps continuing to rise stage, the securitiesinvestment funds shoud take a more robust regulatory. When stock market fluctuations and even a serious decline in the regulatory, authorities should be timely adjustments to the regulatory measures, to adopt more stringent regulation.2.Investors in the purchase of fund products, pay attention to spread the risk, to avoid the purchase of the funds management company with a product; regulators. When a fund management company’s multiple fund have poor performance, special attention should be on the fund management company; the same time, the fund management company, launched a new fund products, should take a more cautious approach, strict examination and approval.3.Investors buying fund products, should be based on Chinese stock market in a bull market to buy index-fund products, with the market’s upward momentum getting stable investment income. Not recommend the purchase of fund products in the stock market continuing to decline stage. Recommended holding cash at hand to watch, even if the stage is a good growth, stock is still unavoidable with the decline in the stock market and poor performance. Consolidation period in the stock market, index fund performance is not good, So not recommended to buy index funds, you can consider to buy growth or value funds.
Keywords/Search Tags:Open-ended Equity Funds, Perfomance Evaluation, VaR-RAROC, Funds investment
PDF Full Text Request
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