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The Empirical Research on the Performance of China’s LOF Fond

Author: GuoShiBo
Tutor: ShengJiLiang
School: Jiangxi University of Finance
Course: Quantitative Economics
Keywords: LOF fund Performance evaluation DEA
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Type: Master's thesis
Year: 2013
Downloads: 22
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Abstract


Since the reform and opening up, domestic economy has developed rapidly. While China’s securities market has been continually developing and the market mechanism has been perfected, which effectively promotes the rapid growth of the fund industry. In the two types of the fund, the open-end fund compared to the closed-end fund has more advantages, for example, it is a good solution to the defect that the closed-end fund market price independent from the net value of the fund assets, which resulting to both the open-end fund’s scale and quantity has been far more than the closed securities investment fund’s and has increasingly become the most popular kinds with the development process of the fund market. Under the current circumstances, open-end funds performance, which is the relative income of the fund, has become a concern for investors. Therefore, how to scientifically evaluate the open-end fund’s performance has a significant meaning for the development of fund investors, fund managers, and the fund industry.This paper summarized some deficiencies of the traditional fund evaluation method at domestic and foreign. After the comparison and analysis of the different methods of fund performance evaluation, I introduced the data envelopment analysis (DEA) comprehensive evaluation method to make the empirical analysis. Because the DEA method to evaluate fund performance can overcome the different influence from the different benchmarks and also can analyze the influence degree of the different factors on the evaluation results. Moreover, I ranked the effective degree on the fund performance, and analyzed the slack variable of the invalid fund to find out the way to improve all the invalid fund achieving relatively effective. I selected24LOF listed for empirical research before November22,2007. The results showed that:only8funds are relatively efficient, the overall efficiency of the funds is not high. The main reason for the invalid performance funds is mainly the bad scale efficiency (of which there are15funds in the state of decreasing returns to scale, it indicated that the scale of the existing funds is too large and the method for reaching the best scale only by reducing the scale of operation). In the other hand, considering from the input and output of the slack variables, I believe that the main factors which affect the efficiency of fund is non-system risk, in the four indicators, the non-system risk needs maximum improvement. Finally, after compared the DEA method with the traditional fund performance evaluation method, there is a big difference between different evaluation results, while the rankings are consistent overall. The reason is that the traditional performance method only includes the performance of risk adjustment but the operation of funds and non-system risk.

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