Mutual Fund Performance Comparison

Mutual fund, as an investment choice with shared return and risk, is the important institutional investor in the market. It also plays a crucial role in the stability of market. However, it has been only twenty years since the first mutual fund established in the Chinese market. Comparing some developed market, Chinese mutual fund market still needs to be improved in management method, management skill and investment environment. This dissertation aims to compare the mutual funds’ performance with different performance measurements between China and UK market. This comparison is separated into several parts:recent 5 years’performance; 2008 financial crisis effects; market timing; portfolio simulation in China market. This research shows some differences between the two markets and provides some helpful investment advice to both common investors and portfolio managers according to the comparison outcome.Firstly, the research compares the high ranked actively managed mutual funds and passively managed mutual funds by their recent five years’ performance, applying some risk measurements and regression methods to evaluate and calculate the performance. All the results have been shown in tables and graphs to clearly describe the advantage and disadvantage of active mutual funds. For the passively managed fund, the analysis uses tracking error to compare. The results show that mutual funds in UK market have superior returns and stability compared to funds in China market. Secondly, the analysis focus on the influence of financial crisis hitting the market. Through the performance measure before and after the time that crisis occurred, the results find that high ranked mutual funds can outperform market all the time and gain high relative return. High ranked funds in China market perform conservative before crisis but defend themselves after.In the research of market timing, TM and Weigel models have been chosen to process the funds’data in recent five years. Those two models give some distinct results and the research explain their possible reasons. The last part, the dissertation simulate a portfolio by using the stock picking skill from Joel·Greenblatt to certify the applicability of this method in emerging market. The portfolio picked 30 stocks of China market from 2010.6 to 2015.3, and changed long position every June. The final simulation results tell us some significant performance measure. This portfolio gain far more returns than the market portfolio and this certify that such method can be a good choice for common investors in China market and also a starting point of picking stocks for professional investors.At the final part, the dissertation summarizes all the results and comparisons, and analyzes these outcomes. It also gives some useful conclusions and investment advices based on the empirical results. At the same time, it states the limitations of this research and also some extensions which can be improved in the future study.