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The Empirical Research on the Performance of Funds

Author: YangHe
Tutor: ZhaoZhenQuan
School: Jilin University
Course: Quantitative Economics
Keywords: Fund Performance Evaluation VaR VaR-GARCH model RAROC TM model Factor Analysis
CLC: F224
Type: Master's thesis
Year: 2007
Downloads: 228
Quote: 0
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Abstract


The investment fund has now become an important investment tool worldwide . With the gradual improvement of the country's financial market , the size of the investment funds in China is growing , its characteristics due to the variety of the fund's investment philosophy and operating its own way and style , performance and risk are also very different , therefore there is a need for investment funds performance evaluation . In this paper, the theory and application of a combination of norms and a combination of empirical research , analysis inherent principle of the theoretical basis of the theoretical basis for the operation of the investment fund , the investment fund performance evaluation and assessment methods . RAROC method selected on the basis of the latest evaluation of the overall performance of fund performance for the fund manager 's stock picking ability and timing ability to do empirical research and using factor analysis to reflect the overall performance of the Fund , stock selection capacity , cost , liquidity and growth of the 11 indicators in the timing analysis , evaluation and ranking factor score samples Fund . The results of this study show that : RAROC as a performance evaluation consider a risk-adjusted income , the operating capacity of the Fund to make the overall evaluation , showed that by comparing the fund's performance was better than the market index , the Fund outperformed the broader market \

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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