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The Empirical Study on the Performance Evaluation of Chinese Stock Open-ended Funds

Author: LiaoChunHong
Tutor: WangJinZhong
School: Southwestern University of Finance and Economics
Course: Financial Engineering
Keywords: Open-end fund Performance Evaluation Empirical Analysis
CLC: F224
Type: Master's thesis
Year: 2010
Downloads: 135
Quote: 0
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Abstract

Open-end funds have become mainstream varieties of securities investment funds, and to become the world's major investment on the stock market strength and financial instruments. September 2001, China's first open-end funds - Hua Innovation Investment Fund was established, marking China's securities investment fund has entered a new period of development, followed by an open-end fund as a mainstream fund varieties have been actively developed. Extraordinary development in the institutional investment management in the context of the rapid development of China's securities investment funds, funds increasingly rich varieties, the product line has improved steadily increasing number of funds, the fund is expanding. Because closed-end fund open-end fund is more than institutional strengths, the fund industry is more conducive to survival of the fittest mechanism of the play, the development momentum of open-end funds than closed-end funds, which far exceeds the number and size of the closed-end funds, and has become fund industry mainstream varieties. For open-end funds to conduct a comprehensive evaluation of the system, both in theory or in practice to see are of great significance. From the theoretical point of view, to measure performance of the fund has become a modern financial investment branch of an important application of the theory, many of the indicators fund performance evaluation and assessment models are built directly on the basis of modern investment theory; hand, modern investment theory to a large extent can be tested through the assessment of fund performance, fund performance will be compared with the market return, you can know the effectiveness of the securities market, and thus the efficient market theory for verification. From a practical point of view, open-end fund performance evaluation studies is to promote the healthy development of the fund industry an important part. Establish a comprehensive fund performance evaluation system to both the investors and fund management companies, regulatory authorities or the market has a very important significance. For investors, fund performance evaluation can make ordinary investors to understand the investment of the funds in a certain period of risk, return and other information for their selection of funds to provide a frame of reference. By analyzing the Fund's performance, you can get accurate information on fund investment operations, which can adjust the investment strategy to make the right investment choices, to avoid blindly follow some of the losses suffered by false information. The fund management company, to establish a scientific evaluation system fund performance, not only on the fund manager's professional competence and performance levels are given specific quantitative evaluation can also be implemented accordingly to analyze whether the investment plans to meet or exceed investment Target and found the lack of investment plans, determine the investment strategy in the market adaptability, summed up the experience of successful management, improve the company's management level for regulatory purposes, fund performance evaluation can provide the regulatory authorities for the Fund and the Fund's investment decisions performance information, through which information about the fund and securities markets may be the actual situation of the Fund's investment effects, and further develop the breed innovation fund, regulatory and other policies and regulations, to identify problems supervise fund improvements. Firstly, on the open-end fund some of the basics were introduced, including their definitions and classifications, and the open-end fund development in China made a brief overview. Followed by an open-end fund on the current performance evaluation indicators and models are described, introduced the current international more popular open-end fund performance evaluation indicators and models, including Sharpe, Treynor index, Jensen index fund management as well as evaluating people picking ability and timing ability of TM and HM models. Then through the comparison and evaluation of these models, their open-end funds in the performance evaluation of the applicability of the research. The final choice of 35 31 December 2005 established equity open-end funds, open-end fund on China's overall performance, the fund manager's ability to select securities, timing capabilities, and the consistency of their performance evaluation conducted empirical analysis and testing. Sample fund evaluation period is December 31, 2005 to December 31, 2008, the evaluation time interval of both the rise of another fall, so can our open-end fund investment performance and overall performance to make a more objective real evaluation. Through empirical analysis to conclude that from the open-end fund's average yield and risk (standard deviation) of view, failed to show the risks and benefits of the principle of matching. Most funds are lower than the market risk of the portfolio gained more than the market portfolio return. Reason may be that investment in securities affected by external factors too, the stock market did not lead the internal operating rules of operation of the market, the overall performance of the non-validity of China's securities market. In the performance evaluation period, the different performance indicators, the Fund's performance is better than the market benchmark portfolio. Overseas studies have shown that the same risk conditions, the yield of securities investment fund market will not be higher than the corresponding benchmark portfolio yield, which supports the validity of foreign well-developed capital market assumptions. While China's securities investment funds can get better than the market benchmark portfolio yield, indicating that China's securities market efficiency needs to be improved. Use of non-risk-adjusted average weekly yield for each fund performance indicator results sorted, and with Sharpe, Treynor index and Jensen index three risk-adjusted performance evaluation for each Fund sorted results are positive correlation, but correlation is not too large; using Sharpe, Treynor index and Jensen index for each fund performance sorted result there is a strong positive correlation between, were significantly related. Which to some extent explains the Sharpe ratio, Treynor index and Jensen index performance evaluation results more consistent. From the TM model and HM model regression results, only the JP Morgan Alpha, ICBC Credit Suisse Core Values, CITIC bonus selection, Invesco Great Wall Domestic Demand Growth and AIA Huatai Sheng Shi China this five funds in the TM and HM model security selection capabilities index α values ??were greater than zero and passed the test of significance, 35 funds which five have significant security selection capabilities. 35 samples, only Fortune SGAM Fund Multi-Strategy has significant timing ability. Therefore, our open-end fund managers have security selection ability, some fund managers have a remarkable ability to select securities; Chinese Open-end fund managers have some timing ability, almost no one has significant timing ability. Empirical results are also many foreign fund managers to grasp did not find strong evidence of market timing ability. TM and HM model samples fund management capability evaluation findings highly consistent, in reality, we can choose one of the indicators to evaluate the ability of the fund management.

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