Dissertation > Excellent graduate degree dissertation topics show

The Performance Evaluation of Open-Ended Fund in China Based on Dea

Author: HeHui
Tutor: DuZiPing; ZhangYong
School: Tianjin University of Science and Technology
Course: Management Science and Engineering
Keywords: Performance Evaluation Open-ended Fund Asymmetric LaplaceDistribution Super-SBM Model Malmquist Index
Type: Master's thesis
Year: 2011
Downloads: 14
Quote: 0
Read: Download Dissertation


With the advent of the liberalization and diversification of the financial markets, investors have more choices. Because the Securities Investment Fund can access to capital interests in the bull market and spread the risks in the bear market by the dispersion of investment. So, it loved by the investing public and flourishing. Together with the tradition banking and insurance, forming a tripartite confrontation financial structure. According to the China Securities Investment Fund Industry Report Statistics in the first half of2010, as of June30,2010, there are various types funds, and654Open-ended funds managing divided by the60fund management companies, and the net asset value total2.0293trillion yuan. Facing to the range of types and quantity funds provided by the securities investment fund management companies, the investors how to choice a suitable fund in order to obtain the profit under the smaller risk? Therefore, it has very important significance to establish and improve the system of the fund performance evaluation, and to evaluate the relative performance of the fund on comprehensive and objective.In this paper, we use the DEA method to study the relative performance of the40Open-ended funds which established before December31,2004. The set of outputs comprise the average of the portfolio return and the traditional performance, such as Sharpe index, Jensen index and Treynor index. In particular, among the inputs, we have different risk measures of the portfolio return, the average of the VaR of the portfolio which is based on the GJR model and Asymmetric Laplace distribution, standard deviation of returns, and we also have the subscription and redemption costs which directed effect in the investors. In this paper, we adopt the Super-SBM model which can be used to measure the relative performance of open-ended funds. And take the correlation analysis of the rank of the traditional three evaluative indexes with the Super-SBM model and the BCC model. At the same time, we introduce the Malmquist index to study on the trends of the efficiency of the Fund’s portfolio management, and to analyze the root causes of changes of the efficiency.The results show that:(1) The overall performance of the China’s Open-ended funds is low, and the resource utilization and management efficiency is low. And there are different levels of resource waste.(2) As partial shares of the Fund in China in the majority, so the fund market influenced by the stock market. And there is clear linkage between the fund performance and the market index.(3)The total factor productivity for the open-ended fund decreased slightly in the evaluation period, and the direct cause is the decreasing in both the technical chang and the pure efficiency change.

Related Dissertations

  1. The Research on the Performance Results Application of Zhaoqing Power Supply Bureau,F272.92
  2. AI Institute of pay system design and research,G647.5
  3. Performance Evaluation of University Academic Team Based on Balanced Scorecard,G647
  4. Design of the Performance Evaluation Index System of Quality Curriculum Websites Based on the Balance Score Card,G434
  5. Performance Evaluation System Optimization Design of the Extend the Yan Chang Oil Industry and Co., LTD,F272.92
  6. A Study of Performance Appraisal of Univesity Technology Enterprise,G644
  7. Safety Training System of Mine Enterprise and Training Effectiveness Evaluation Research,TD791
  8. Citizen participation in local tax department performance evaluation studies,F812.42
  9. Based on Factor Analysis of the chemical industry trade Financial Performance Evaluation of Listed Companies,F224
  10. The Study of Project Schedule Managementperformance Evaluation System,TU722
  11. Harbin Municipal Government Performance Assessment Problems and Countermeasures,D630
  12. Study on Supplier Performance Evaluation System of Company-A(ShenZhen),F426.63
  13. Research on GEVA-VC Enterprise Performance Evaluation Indicators System in Jiangxi Copper Company Limited,F426.32
  14. Building the Performance Appraisal System for the Economic Cooperation and Service Bureau of XiGu District Lanzhou City,F127
  15. Bayesian Methods in Private Funds Performance Evaluation,F224
  16. Hongzhi Company Performance Problems and Solutions,F426.6
  17. The Comprehensive Performance Evaluation and Application Research of the Core Enterprise in Green Supply Chain,F205;F224
  18. HTC shares colored key process -based production company Performance Evaluation System,F426.32
  19. Optimize and Design the Postal Performance Evaluation System of Ningxia Based on the Balanced Scorecard,F616
  20. Research on Standards Construction of Government Accounting,F810.6
  21. Study on Dynamic Characteristic & Seismic Performance of Single-Layer Cylindrical Latticed Shell with Different Supports,TU399

CLC: >
© 2012 www.DissertationTopic.Net  Mobile