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Of open-end securities investment funds performance evaluation

Author: NingYan
Tutor: YouDaMing
School: Central South University
Course: Technology Economics and Management
Keywords: Open-end fund Performance Evaluation New indicators Multiple regression
CLC: F832.51
Type: Master's thesis
Year: 2007
Downloads: 292
Quote: 1
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Abstract


In recent years , as China's open-end securities investment fund industry rapidly prosperity , domestic scholars fund performance evaluation methods were positive theoretical exploration and empirical research , but overall, still in a relatively backward state . In addition , the domestic researchers used the evaluation method is still limited to the traditional fund performance evaluation of these methods in our applicability has been subject to theoretical and practical circles questioned. Therefore, with the appropriate indicators or model of open-end fund performance evaluation has important theoretical and practical aspects of significance. This combined with the existing evaluation of the advantages and disadvantages to build a new evaluation in order for the existing evaluation theories make new supplement to other research that aspect theory to provide new and valuable perspective. Meanwhile Through this objective performance evaluation, in order to meet investors , fund companies , regulators, and other aspects of the different needs . This article summarizes the Fund's performance evaluation theories and research literature , analyzed and summarized for each method contact , the difference and the advantages and disadvantages ; through a comparative analysis of several classic risk-adjusted returns index theory , combined with China's capital market situation , taking into account investor psychology and risk appetite , the Sharp ratio and Shao Tannuo ratio , based on constructed on the fund's overall performance evaluation of new indicators . Through empirical comparison of the results , showing new indicators better stability and rationality ; apply abroad for an open -end fund evaluation of the classic model to evaluate the fund manager's stock picking ability and market timing ability to grasp , to fund the company's management decisions provide an important basis ; using a rating single fund performance persistence of multiple linear regression model , the sub- period is divided into four sequences , respectively, using a non-risk- adjusted returns , Jensen index and new indicators SSR as regression gain value further examine models and new indicators features and application results.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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