【IMI Working Paper No. 1504 [EN]】Risk-Adjusted Performance of Mutual Funds-Evidence from China

2015-04-03 IMI

【Abstract】 In this paper, we evaluate the performance of individual mutual fund listed in China between 2006 and 2014. We build an indicator more consistent with investors' rationality to track funds' performance. More specifically, we firstly estimate the time-varying abnormal returns of each China's mutual fund by introducing an additional factor of active peer benchmark. An index of riskiness is then estimated and used to calculate the augmented performance measure (APM). The APM therefore addresses investors' preference towards managerial premium of a certain fund and their aversion to the tail risk. Empirical evidence shows that the APM incorporates information beyond the first and second moments of the distribution of fund returns, therefore it encompasses better fund-choosing decisions as compared with Sharpe ratio and the economic performance measure. 【Authors】 Gang Jianhua: Research Fellow of IMI, School of Finance, Renmin University of China. Qian Zongxin: Research Fellow of IMI, School of Finance, Renmin University of China 【IMI Working Paper No. 1504 [EN]】Risk-Adjusted Performance of Mutual Funds-Evidence from China

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【IMI Working Paper No. 1504 [EN]】Risk-Adjusted Performance of Mutual Funds-Evidence from China

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