Brinson performance decomposition model for Mutual Fund in China

Actively managed stock mutual funds

• Brinson performance decomposition model for all such funds
• Asset allocation for all such funds, asset allocation persistence, proportion of significantly positive asset allocation
• Fund benchmark performance, appropriateness of benchmark as baseline for performance
• Regression-based fund performance measures
• Model sensitivity to time window choice, third-party data sources credibility, model complexity, estimated interim parameters

Monetary funds

• Performance persistence
• Performance association with fund asset

Note: Codes are primarily SAS and R programs. Data are mainly from Wind and CSMAR.

Code 0.R - XVIII.sas include whole process of building Brinson decomposition model for mutual fund in China, from data downloading, cleaning, organizing to model building and data analysis.