In this study, we offer an overview of methods suitable for performance attribution in emerging markets and present an application of such methods to Chinese mutual funds. Our approach echoes the more recent literature on fund performance attribution that makes use of the so-called stochastic discount factor (SDF) in evaluating fund performance, and offers the first test of conditional risk-adjusted performance (Ferson et al., 2006) of actively managed Chinese funds. In doing so, by using a pricing model implied by the SDF that spans a set of basis assets traded in Chinese capital markets, we directly address the concern put forth by Drew et al. (2003), who question the relevance of popular risk factors, e.g., those included in the Fama-French factor model (Fama and French, 1996), when assessing the performance of Chinese funds.

Performance Attribution in Emerging Markets an Application to Chinese Open-End Active Mutual Funds

Poti V.;
2014

Abstract

In this study, we offer an overview of methods suitable for performance attribution in emerging markets and present an application of such methods to Chinese mutual funds. Our approach echoes the more recent literature on fund performance attribution that makes use of the so-called stochastic discount factor (SDF) in evaluating fund performance, and offers the first test of conditional risk-adjusted performance (Ferson et al., 2006) of actively managed Chinese funds. In doing so, by using a pricing model implied by the SDF that spans a set of basis assets traded in Chinese capital markets, we directly address the concern put forth by Drew et al. (2003), who question the relevance of popular risk factors, e.g., those included in the Fama-French factor model (Fama and French, 1996), when assessing the performance of Chinese funds.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11586/266071
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