A Comparative Study On The Performance Of CSI 300 Index And Fund Investment Based On The Almost Stochastic Dominance Method

Investing in securities market is an important way which many individual and institutional investors obtaining benefits, but investors will concern about how to choose the right portfolio, and how to evaluate the performance of different portfolios, so that rerurn is maximized, at the same time, risk is minimized. As we know, China’s financial market is undeveloped, many markets’ policies are tested, and improvement of building socialism with Chinese characteristics economy also requires the establishment of sustainable, stable and healthy development of the financial markets. Retail securities market structure of China is one of the important factors that hinder its development, especially in the stock market and fund market, there are a lot of small and medium investors, showing that the market is heavily speculative. Therefore, reliable way to select the leading investment, safeguard the legitimate interests of small investors is crucial. The distribution of financial time series data in particular securities yields sequence is often non-normality, manifested in nature peaks, thick tail. Traditional methods, such as the Sharpe ratio and Treynor ratio, is much too limited when evaluating capacity, and the accuracy of conclusions is lower, which forcing us to find a way to overcome these difficulties.Stochastic dominance approach is an important performance sorting method when measuring the performance of risk assets. Since the characteristics of its return distribution is not required, it is often be used as a performance evaluation. In this paper, almost stochastic dominance methods is used to compare the performance of a certain period of CSI 300 index and funds, then analyze the advantages and disadvantages of stock investment and fund investment, and explain the almost stochastic dominance method is indeed optimal. Almost stochastic dominance and stochastic dominance are with the same theoretical support, in fact, almost stochastic dominance is a simplified high-order stochastic dominance. Specifically, the article selected empirical data for a decade, and the funds will be classified into stock funds, bond funds and hybrid funds. The empirical research showed that stock funds and hybrid funds are all almost second order stochastic dominance in market index, of which the best performance is equity funds, bond funds is not dominant in any assets, that is the worst performance. In addition to almost stochastic dominance method, it also uses the traditional method of performance measurement and downside risk-adjusted performance measure to the empirical research, the conclusions confirmed that almost stochastic dominance method did produce inconsistent empirical results with other methods, so as to check the accuracy of almost stochastic dominance approach, highlighting the advantages of the method almost stochastic dominance. To make the studying more convincing and interesting, we also study the individual segment data, which has been extracted from the sample data in phase, respectively the stock market rising, falling and shocking stages, each stage has made the analogy to the above empirical study, the results showed that almost stochastic dominance method is indeed optimal.