Dissertation > Economic > Economic planning and management > Enterprise economy > Enterprise planning and management decision - making

The Research of Open-End Fund Risk Measurement and Performance Evaluation Index on Fractal Theory

Author LiuLin
Tutor GuRongBao
School Nanjing University of Finance and Economics
Course Finance
Keywords Multifractal Analysis MF - DFA method Risk Measurement V / S method Performance Persistence
CLC F832.5;F272
Type Master's thesis
Year 2010
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In this paper, fractal market theory-based, multi-fractal characteristics of China's open-end fund market. The introduction of a new risk on the basis of the analysis of the MF-DFA method to measure the level of China's open-end fund market and the single open-end fund risk metrics σh and σh; using V / S analysis of open-end funds performance persistence. The empirical study include the following: (1) the multifractal detrended analysis (MF-DFA) method to analyze the SSE Fund Index and Shenzhen fund index, derived SSE Fund Index return series and Shenzhen fund index daily yield sequence has a multi-fractal characteristics, and on the Shanghai fund index daily yield sequence the multi-fractal characteristics is by long-range correlation and fat tail distribution joint action caused the and Shenzhen fund index date gains rate series of multi-fractal characteristics not only caused by the long-range correlation and fat-tailed distribution, but also by other factors; introduce a new risk metrics σh to measure the fund market of the Shanghai and Shenzhen fund market risk level, draw SSE Fund market risk than deep SSE Fund market risk, and verify the effectiveness of the indicators of σh. (2) The the σh measures the risk of a single open-end funds. Define a new risk metrics the σh measured open-end fund risk levels of different types of investments and investment styles, different types of investments, the risk of equity funds is greater than the risk of the bond and hybrid funds, bond funds risk minimization; The greatest risk, into different investment styles, index funds followed by large funds, balanced funds, risk minimization. This is basically consistent with the actual situation of the capital market, and then verify that σh effectiveness of the indicators, selection of funds to provide a reference for investors. (3) the use of Cajueiro (2005) V / S analysis method to study China's open-end fund performance persistence, come to study most of the open-end fund performance persistence. Define a new h indicators on the different types of open-end fund performance persistence test, draw, although it has performance persistence, but the intensity is different. Different types of investments, followed by the persistent strength of the equity fund performance, hybrid funds, bond funds performance persistence weakest; different investment style, the intensity of the index fund performance persistence, growth funds, followed by balanced fund performance persistence weakest.

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