Fund Performance Evaluation of Investment Funds: Theory and Practice

Author: Cai Mingchao
Publisher:
Publish Date: 2005-10-01
Features: The book is divided into 7 chapters, including Introduction, Theoretical Discussion and Empirical Research on Fund Risk-Adjusted Performance, Style-Adjusted Performance Analysis of Funds, Investment Performance Evaluation of Index Funds, Fund Performance Analysis, The Impact of Performance Compensation Design on Fund Performance, and an Exploration of Other Factors Affecting Fund Performance. The main contents are as follows:
1. Fund Risk-Adjusted Performance. Based on parametric methods, the author proposes a broad risk-adjusted performance indicator based on an investor's utility function and the second moment of random variables. This indicator can unify various risk-adjusted performance measures.
2. Style-Adjusted Performance of Funds. Style adjustment can remove more non-managerial factors from fund performance, representing a trend in the development of fund performance evaluation.
3. Decomposition and Analysis of Fund Specialized Capabilities. Successful asset portfolio management is the result of coordinated efforts by fund managers in processes such as security analysis, security selection, sector allocation, category allocation, and timing selection.
4. Analysis of Factors Influencing Fund Performance Compensation Design. The design of fund management compensation influences fund performance through the level of active investment or the risk level of stock purchases.
5. Analysis of Other Factors Affecting Fund Performance. Additionally, the book explores the impact of other factors such as investment costs, investment concentration, turnover rate, and asset size on fund operations.