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The Evaluation of Close-end Funds Performance by Higher Moment

Yang Aijun,Liu Xiaoxing  
Return series of closed-end funds in China has significantly fat-tail and skewness characteristics.In order to study whether the higher moment affect fund performance evaluation and ranking and whether sharpe ratio is still suitable for funds performance ranking,this paper firstly from the perspective of theory,analyses why investors prefer to higher moments,then using the expected utility,propose the generalized Sharpe ratio(GSR) that taking higher moments into account.The empirical results show that although the returns do not follow normal distribution,the funds ranking order is identical by either Sharpe ratio or GSR.Sharpe ratio as the mostly used index for ranking of closed-end funds is still effective and suitable.
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