Rank statistics in mutual fund performance evaluation - A Case Study of China Fund

• Main Authors: Chun-Yi Huang, 黃珺怡
• Other Authors: Jeng-Fu Liu
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/47700084268604852678

碩士 === 輔仁大學 === 應用統計學研究所 === 99 === Throughout the reformation of financial regulation in Taiwan, mutual fund becomes one of the favorite investments nowadays. Nonetheless, the expectation toward investment return and the willingness of risk acceptance differ from one investor to another. In this article, we first aim to integrate six commonly-used performance evaluators into three synthesized indicators based on their underlying logic. We name these three indicators as return indicator, risk indicator and adjustment indicator . Following by analytic hierarchy process (AHP), we can assess how individual investor and general population weight these three indicators and finally propose a ranking mechanism to sort candidate funds. Our proposed method is appealing for simultaneously putting risk and expected return into consideration. Take China mutual funds as an example, We collect 22 mutual funds on a weekly basis dating from 2005 to 2009. Our analysis suggests Fidelity Funds – China Focus Fund and Eurizon Easy Fund – Equity China perform well not only across various indicators within this period of time but meet the general population’s needs.