Dissertation > Excellent graduate degree dissertation topics show

Measurement and Positive Study of Funds’ Risk-Adjusted Return

Author: GuoZuoLi
Tutor: WuKe
School: Huazhong University of Science and Technology
Course: Finance
Keywords: β coefficient Variance Downside risks Risk-adjusted return
CLC: F224
Type: Master's thesis
Year: 2005
Downloads: 172
Quote: 1
Read: Download Dissertation

Abstract


China 's fund market in recent years has been extremely rapid development of the mature foreign market development experience , our fund rating system should be established as soon as possible , to help investors rational investment and supervision of fund management companies . China 's greater use net income indicators , but Markowitz \. How to measure risk , that is to select what kind of indicators to measure the risk , the paper first examines the proportion of the total risk of systemic risk by the coefficient of determination R 2 , the study found a higher system of China 's fund market risk ; thesis by analyzing stock a portfolio of funds and bond funds , that set the benchmark portfolio unreasonable ; significant test and correlation test using the regression coefficient β coefficient and the yield does not exist CAPM theory said positive linear relationship ; the β coefficient CHOW inspection confirmed that most of the funds are not with stability . Second σ2 study in each other's difference , kurtosis and skewness statistics by analysis of the rate of return , we confirmed that its normal distribution assumption does not hold ; rise and downside risks dual concern does not meet investors understand the risks . Therefore , we need to take a new risk analysis (Risk Analysis) method . Choose because of the the beta coefficient existence of market benchmarks problems and related issues , as well the variance existing income non- normal distribution as well as investors on the downside risks to the attention of making traditional Sharpe ratio risk-adjusted profitability metrics have certain limitations , so we build a new risk results to adjust the indicators ( MRAR ) and weekly yield of 16 open-end fund stock through empirical research , statistical analysis , calculated the sample the Fund 's MRAR and the Sharpe ratio , and use consistency analysis confirmed that the two indicators are highly correlated .

Related Dissertations

  1. Error Analysis and Measurement Method Design for the Hemispherical Resonator Gyro,V241.5
  2. The School Regional Variations Analysis of the Geographic Education of Guangzhou and Heyuan,G633.55
  3. Based on statistics of the lognormal distribution heteroscedasticity model inferred,O212.1
  4. The use of anti-poverty funds Performance Study,F124.7
  5. Fire service thermal comfort and thermal protection of research,TS941.15
  6. College students comprehensive evaluation of the employment situation and its influencing factors,G647.38
  7. Research on Dodging Methods of Optical Remotely Sensed Image,TP751
  8. China's cultural industry development level of regional comparison,G124
  9. The Statistical Analysis of Natural Science Fund on Mathematics during 1999 to 2007,O212.1
  10. Study on Assessment of Fashion Print Advertisement Based on Visual Attention Mechanism,F713.8
  11. A Study on the Impact of ZhenJiang’s Export on Environment,F752.62;F205
  12. Statistical Methods for Qualitative Sensitive Questions Survey in Stratified Two-stage Sampling and Its Application,R195.1
  13. Research on Income Gap of Urban and Rural in Gansu,F224
  14. Research on the Area Differences in Innovation Performance of High-tech Industry in China,F276.44
  15. Study on Employee’s Job Satisfaction in the Network Operation and Maintenance Department of Jiangsu Branch of China Unicom,F626;F224
  16. Tai'an County Economic Development and Local Government Construction Problems,F812.7
  17. Heilongjiang Financial Development and Economic Growth,F224;F127
  18. Stock price volatility and its influencing factors,F832.51
  19. Of linear low density polyethylene futures price discovery function of,F224
  20. Of monetary liquidity and stock index Empirical Study,F822.0;F224
  21. An office project cost management research,F406.72

CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net  Mobile