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Research on Performance Estimation System of Stock Open-end Fund

Author: CaoLi
Tutor: XiaoHongSheng
School: Shandong University
Course: Finance
Keywords: stock open-end fund risk-adjusted indexes Comprehensive fuzzy evaluation
CLC: F224
Type: Master's thesis
Year: 2008
Downloads: 279
Quote: 5
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Abstract

With the development of china’s capital market and people’s increasing financing awareness, open-end fund especially Stock Open-end fund have attracted more and more investors. So scientific performance evaluation of stock open-end fund and finding out all the factors that affect performance of stock open-end fund have a great significance for fund investors. This paper tries to do some researches on this topic.This thesis includes five parts—introduction, theoretical analysis, performance evaluation, building of Performance Estimation system and conclusion.Firstly, the paper introduces background of the study, significance of study, main content and methods the paper applied.Secondly, the paper introduces relevant theories of fund performance evaluation, including classical risk-adjusted indexes, multi-factor model for performance evaluation based on APT, performance evaluation model based on no-benchmark, stock selection and market timing theory, and performance persistence theory. In this part, It also introduces modern fund performance evaluation systems used by MorningStar company compared with Micropal company and the present situation of mutual funds performance evaluation system in China and their weakness.Then the paper did empirical research for 33 stock open-end fund established from September, 2001 to June, 2004 based on their monthly accumulative value from Augest, 2004 to July, 2007. It is concluded that as a whole domestic stock open-end fund’s performance surpasses ShangHai A-shares index which provides that stock open-end fund portfolio dispersed risk successfully to a certain extent. Risk-adjusted indexes performance evaluation is different from classical performance evaluation significantly. And it proves that stock open-end fund’s return has great correlation with risk they faced, higher income usually comes with higher risk. Another conclusion is that fund managers have some stock selection and market timing skills, past fund performance can predict future fund performance to some extent. So past performance can be seen as a factor that affect fund’s future performance. In the third part, the paper designed an stock open-end fund performance evaluation system considering both macroscopic factors and microcosmic factors including fund management company, fund managers and so on. Then this paper designed stock open-end fund performance evaluation system based on Comprehensive fuzzy evaluation.In the last part, the thesis has summarized the main content and results of this research and pointed out the deficiency of the study.

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