Dissertation > Excellent graduate degree dissertation topics show

The Performance Evaluation Method of Open-end Fund

Author: WeiChen
Tutor: WuRunHeng
School: North China University of
Course: Applied Mathematics
Keywords: Var RAROC Fund Performance Evaluation Band operation Monte Carlo simulation
CLC: F832.51
Type: Master's thesis
Year: 2009
Downloads: 202
Quote: 0
Read: Download Dissertation

Abstract


Investment Fund is a benefit-sharing, risk-sharing system of collective investment. Open-ended investment fund in China, led the open-end fund industry in the performance evaluation of the rise of the domestic. China’s development of this assessment, it is necessary to learn from theory and experience from outside. To master the method of calculating the assessment model, with this theory, investment funds for our work and serve the cause of performance evaluation.Performance evaluation of securities investment funds, to investors and fund companies have great significance. Securities investment funds a variety of performance evaluation methods, the modern theory suggests that to assess the investment fund’s investment performance, not only to visit the Fund’s average rate of return and risk depends on it. Only the value of introducing risk factors, methods of performance evaluation in order to make an effective evaluation of the Fund. Therefore, the fund performance evaluation should be the core of the risk faced by its accurate calculation and measurement. Risk VaR model will be used to assess the performance of securities investment funds, such as risk-adjusted performance evaluation methods in line with the requirements of the modern theory, a more comprehensive and effective description of the Fund’s real income.Investment fund performance evaluation methods are: Sharp index, Treynor index and Jensen’s index method, and based on the VaR of the securities investment fund performance evaluation method - RAROC, such as risk-adjusted performance evaluation methods can be more objective, accurately reflect the performance of securities investment funds.Fund managers measure "the capacity of band" connection, Monte Carlo simulation shows that the traditional timing of testing the ability of fund managers model, such as the Treynor-Mazuy model and Henriksson-Merton model could do nothing about it. By analyzing the shortcomings of traditional methods. Inspection fund managers made the time-band model of choice. Simulation shows that the new model can better detect the fund manager’s "ability-band operation". Model only the net proceeds of fund data, we can measure more experience in the market turning point, the fund managers can market over a period of time in the future to predict fluctuations in the direction, through the purchase of low-or high-value assets to adjust their portfolio value, in order to better grasp the market opportunity, high income.

Related Dissertations

  1. Aerial Target Anti-interference Recognition and Tracking System,TN215
  2. Cadmium, Chromium and Lead Accumlation, Distribution in Aralia Elata Var. Inermia and Their Effect on Leaf Antioxidative System,S792
  3. Preparation and Biological Effects of a Bio-Organic Fertilizer Against Tobacco Black Shank Disease,S435.72
  4. Studies on Agrobacterium-midiated Genetic Transformation in Brassica Campestris Subsp. Chinensis Var. Parachinensis,S634.5
  5. Daxinganling forest areas Pinus sylvestris tree-ring δ \u003csup\u003e 13 \u003c / sup \u003e C of the climate significance,S791.253
  6. Physio-Biochemiscal Responses of Seed Germination and Seedling of Sweet Pepper under NaCl Stress,S641.3
  7. Copula-EGARCH-Kernel Density Estimation Model and Its Application,O211.3
  8. Study on Fitness of Backcross Generations between Glyphosate-Resistant Transgenic Oilseed Rape and Four Geographic Populations of Wild Brassica Juncea,S565.4
  9. Cloning and Expression of Novel β-Glucosidase Genes from Rhizopus Stolonifer Var. Reflexus,Q78
  10. Strain Screening of Hainanmycin Production and Fermentation Process Optimization,TQ927
  11. Construction Guarantee Risk Early Warning Mechanism Research,TU71
  12. Statistical Methods of Two-stage Cluster Sampling on Quantitative Sensitive Questions Survey and Its Application,R195
  13. Market Risk Equity Asset Allocation,F832.51
  14. A Comparative Study of Chinese stock market risk measurement methods,F832.51
  15. Coal Base of Northern Shanxi Province Ecological Restoration Technology Research Based on 3S Technology,X171.4
  16. In the standard model based on VaR Equity Fund Risk Assessment Study,F224
  17. Price Volatility Risk Assessment and Comparison of China’s Commodity Futures,F224
  18. Controllable Atom Traps by #-Shaped Current-carrying Wires with Bias Magnetic Field,O431.2
  19. Preliminary Studies on Heterosis Breeding and DH1 Population of Ornamental Kale,S681.9
  20. The Research on Correlation of Metastatic Expenditure and Income Distribution Disparity in China,F124.7;F224
  21. Study of Bidding Decision-making in Transformer Project,F426.6

CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
© 2012 www.DissertationTopic.Net  Mobile