Performance-evaluation Of Chinese Stock Funds Based On Factor Analysis With R

In recent years,our country's national policy to regulate a more comprehensive and perfect the fund market,the scale of investment in the fund industry began to rise.For investors,how to choose a good fund to keep own property hedging or appreciation,and the fund manager's real ability in fund operation,these become the actual problems that need to be solved now.Therefore,the evaluation to the fund performance become more and more important.The thesis is start from the net value of fund accumulative total.On the basis of some existing performance study theory.The thesis puts forward to a complete system of fund performance evaluation system.In addition to the classic three indexes,this thesis also discusses the appraisal ratio,M2 index,and probability of decay rate.At the same time,it also expounds respectively the models such as T-M model,H-M model,C-L model and GII model,which could inspect stocks selection and market timing of fund.Besides,the thesis used the time series data(February 24,2014 to February 20,2017,731 days,213 equity funds)to do model for analysis.The viewpoint of fund performance persistence is verified in this thesis,finally,the method of factor analysis is adopted in this thesis.The sample funds are carried on the comprehensive sequencing,which could help investors to select excellent funds for investment.