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Research of Fund Performance Evaluation Based on Behavior Finance

Author: ChenZuo
Tutor: WeiJianGuo
School: Wuhan University of Technology
Course: Quantitative Economics
Keywords: Securities Investment Fund Performance Evaluation Expectancy Theory Cumulative expectancy theory Loss aversion performance
CLC: F830.91
Type: Master's thesis
Year: 2005
Downloads: 486
Quote: 1
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Abstract


China fund after more than four years of development, has become one of the important institutional investors in the Chinese stock market; emerging investment tool, securities investment funds as the country's financial market and its performance status become important factors that affect the entire stock market trend a. With the growing Fund, the Fund's performance has become a focus of attention. Traditional financial theory is based on the cornerstone of the efficient market hypothesis (EMH), which is the traditional financial theory, but with the financial markets on the accumulation of anomalies, the model and the actual departure from rational analysis makes the traditional financial theory paradigm into an awkward situation. In the 1980s, through reflection and correction of traditional finance, behavioral finance theory quietly rising and began to shake the authoritative status of CAMP and EMH. In this paper, on the basis consider the true investment mentality Income Fund, drawing on behavioral finance theory, cumulative prospect theory, the introduction of the value of the function and the cumulative weighting function (instead of traditional probability-weighted), modeled on the Sharpe index of loss aversion under risk-adjusted performance evaluation method. Firstly, from a different point of view on the securities investment fund performance measurement issues were discussed, conducted a systematic review and summary of the theories and methods of traditional fund performance measure. On this basis, we use to conduct a comprehensive inspection of the new method from two aspects of descriptive statistics and empirical research on the performance of six existing index fund, and to make a comparison with the traditional performance measure. The first chapter introduces the concept of securities investment funds, as well as performance measures defined and metrics; second chapter reviews the performance evaluation methods for evaluating the several traditional securities investment funds; Chapter theoretical background of this paper a new method (behavioral finance theory ) the introduction, and leads This article focuses Chapter - loss aversion under risk-adjusted income fund performance evaluation method. Chapter V of the article is empirical part, including statistical description and chart analysis; final chapter that is concluding section summarizes the comparison of the results of the new method with traditional investment funds performance measurement method, as well as new methods for certain deficiencies. But we must also see that the effective analysis of the performance of the China Index Fund has certain difficulties. The first performance of index funds started late fund smaller amount; Second, China's securities investment funds must be invested in stocks and government bonds have a \However, the comparability between China Index Fund, less complex also provides a unique advantage for the launching of this article topic.

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market > Securities market
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