University of Twente Student Theses


Equity mutual fund performance : evidence from China

Shi, Qiqiang (2013) Equity mutual fund performance : evidence from China.

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Abstract:This thesis provides evidence on the performance of open-end equity fund in a prominent emerging market from China perspective. This study examines the performance of 157 equity funds from 1st January 2006 to 31st December 2010 by using two measures of fund performance: market benchmark adjusted return and Jensen’s Alpha. Our sample period includes bear (2008 and 2010) and bull (2006, 2007 and 2009) market conditions. In addition, this research further investigates the impact of fund characteristics and managerial attributes on the Chinese open-end equity fund performance, through applying the pooled cross-sectional analysis with OLS regression. The explanatory variables examined include fund size, fund age, expense ratio, turnover ratio, and management structure and managerial education. We firstly analyze the performance of the Chinese open-end equity fund. The overall results suggest that on average equity funds are able to beat the markets, as indicated by their positive market benchmark adjusted return and Jensen’s Alpha. Afterwards, the results indicate that fund age, turnover ratio and expense ratio have significant relationship with fund performance over the whole examination period. More specifically, an equity fund with short-established, high turnover ratio and low expense ratio performed better than the one with long-established, low turnover ratio and high expense ratio. Furthermore, we compare the two different market conditions, the findings also document that a fund with high turnover ratio performed better than one with low turnover ratio. Additionally, our results reveal that investors can implement an investment strategy that buy a long-establish fund with team-manager under bear market period, and then sell it under bull market period will generate high profit.
Item Type:Essay (Master)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:83 economics
Programme:Business Administration MSc (60644)
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