The Performance Evaluation of Equity Mutual Funds in China

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Zhang, Ying (2007) The Performance Evaluation of Equity Mutual Funds in China. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

Chinese mutual funds are growing rapidly, which have achieved a phenomenal amount of return in 2006. However, figures may lead to an overoptimistic view of Chinese mutual fund market; hence overestimate fund managers' performance. This study attempts to provide a true and fair opinion in this regard with realistic data.

This dissertation studies performance of Chinese equity mutual funds over the period from 29th July 2005 to 29th June 2007, testing if the sample equity funds could beat the market. This research also examines if Chinese fund managers have selection abilities and market timing abilities. Jensen's Alpha, Treynor Index and Sharpe Ratio are used in the experiment to evaluate the overall performance. Then Fama Decomposition model and Treynor & Mazuy model are employed to assess the fund manager's ability to select undervalued stocks and time the market. A hypothesis test is incorporated in this research to examine the validity of data results.

The conclusion of this study is consistent with the Efficient Market Hypothesis, i.e. Chinese equity mutual funds cannot beat the market, but it does not suggest that Chinese market is strong-form efficient. Actually, fund managers can neither select undervalued stocks nor time the market. They primarily earn profits from bearing high risk and good luck. In addition, the current bullish stock market has also made a considerable contribution.

Item Type: Dissertation (University of Nottingham only)
Keywords: China,Equity Mutual Fund,Performance Evaluation,Efficient Market Hypothesis,beat the market,Market Timing Ability,Selection Ability,Jensen Alpha,Treynor Index,Sharpe Ratio,Treynor and Mazuy Model,Fama Decomposition
Depositing User: EP, Services
Date Deposited: 07 Mar 2008
Last Modified: 21 Mar 2022 16:03
URI: https://eprints.nottingham.ac.uk/id/eprint/21246

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