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Shi, Chen (2018) The performance evaluation of the open-end equity mutual fund in China. [Dissertation (University of Nottingham only)]

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Abstract

The fund industry has made a great progress in China. However, as one of the main kinds of fund, the performance of equity mutual fund is not good. Especially in these few years, the Chinese stock market transform from a bull market to a bear market. Investors have suffered losses and they begin to doubt about the performance of equity mutual fund. Thus, it is urgent to accurately evaluate the return of equity mutual fund in the Chinese market.

Previous pieces of research mainly use the single-factor model (Sharpe index, Treynor index and Jensen’s index model) to empirically evaluate the performance of mutual fund in China. However, these methods are built on the assumption that the risk factor is the only determinant of assets’ return, which is not true in reality. Because of this, the result we obtain from these models might not accurate enough. To improve the accurate of results, in this paper, I use Jensen’s index model together with some multi-factor model (The three-factor model and the four-factor model) to evaluate the performance of equity mutual fund in China. My final conclusion is that most open-end equity fund in China can slightly outperform the market, but this characteristic is not statistically significant. Besides evaluating the performance, I also use the T-M model and H-M model to detect the market timing ability and stock selection ability among Chinese funds managers. My finding is that most Chinese funds managers can select undervalued stocks, but the evidence shows that they do not have the ability to predict the movement of the stock market.

Item Type:	Dissertation (University of Nottingham only)
Depositing User:	Shi, Chen
Date Deposited:	14 Jul 2022 14:59
Last Modified:	14 Jul 2022 14:59
URI:	https://eprints.nottingham.ac.uk/id/eprint/54347

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