Empirical Research Of Mutual Fund Performance And Investment-style

Since the issue of the first open-end fund in November 2001, China's open-end fund had undergone tremendous changes. Data from the Wind database showed that the ratio of the stock value held by open-end fund to the A-share circulation stock value has reached 29 percent at the end of the third quarter in 2007.It showed that the development of open-end fund had made a great impact on the development of China's capital market.Open-end fund is a portfolio of multiple financial assets, such as stock and bond. The most country believes that the open-end fund can stabilize the capital market, defuse financial risks and promote the capital market's development.Whether had the mutual fund developed healthiely? It depended on the performance evaluation system. To setup a reasonable, scientific, exact and practical index would enable the mutual fund to promote the development of the capital market. It would be of significance to making policy for the governer and decision making for the supervisor. The conclusion would play a key role to enacting the capital market's laws for the capital market standardizing and making decisions for individual investors.In this thesis, based on the appropriate econometric instrument, I set up some new performance evaluation index and analyze the performance persist, the mutual fund portfolio's characteristics, and the relation between the mutual fund cash-flow and the stock market stabilization.In the first chapter, I introduced the background and the thesis significance. Based on the literature reviews, I presented the main work.In the second chapter, I studied the distribution and the fluctuation characteristics of the fund return without adjustment of risk. The distribution was the foot-stone of the new performance evaluation index.With the simple statistical method and the stable distribution fitting method, I studied the open-end fund returns distribution. The conclustion suggested that the stable distribution is more appropriate than the normal distribution to fitting the open-end fund returns.Second, the thesis studied the fluctuation's non-symmetry of the open-end fund yield by using EGARCH model and information impact curve, come to the conclusion that the fluctuation of the open-end fund yield behaved the unique non-symmetry behaviors; the individual fund took non-asymmetrical information impulse response; the fund as a whole showed non-asymmetrical information impulse response.Third, I used the ARMA-GARCH model to fit the returns. ARMA-GARCH model can fit the second-order correlation for the mutual fund returns.In the third chapter, I set up the performance evaluation index based on the stable distribution fitting and GARCH model respectively.By the study of the classic performance evaluation system, I come to the conclusion that there were some strong correlations between the classic index. The long-term performance was the comprehensive reflection of the short-term performance. The investor should adopt appropriate index to making investment decisiongs.The thesis established the performance evaluation system with the stable distribution. Based on stable distribution, I got the loss as the risk index. Using the loss instead of the traditional risk, I set up performance evaluation index with the stable distribution. Without distribution fitting problems, the index can evaluate the long-term performance more exactly,.Based on the GARCH model, I adopt the condition variance series as index of dynamic risks, setup dynamic risk-adjusted index. With the dynamic characteristics, the index can be used to measure short-term performance.Using AR(2) model, I studied the open-end fund performance persist. Through analysis of the week, month, quarter return and performance persist, I concluded that the short-term performance presented the persist, medium-term performance presented the reversal.In the fourth chapter, I studied the relation between the character and the performance of the open-end fund portfolio.The shareholding concentrated index measured the ability of using information. The thesis studied the relationship between the open-end fund performance and the shareholding concentrated index, using the fixed-impact Panel Data model. The result showed that the open-end fund had information superiority and got higher exorbitant profit because of the positive relation between the open-end fund performance and the shareholding concentrated index. Through the regression of the open-end fund's shareholding index, the stock-selection and the timing ability, I come to the conclusion that the open-end fund performance come from information superiority. In the condition of China's unique market, the portfolio performance had nothing to do with the manager's ability but the information advantage.Based on the statistical research of the investment-style coefficient, I showed that the mutual fund had evolved from the value-porlfolio into the growth-portfolio. Througe the empirical research, I suggested that the evolution depended on the supervisor decision according to the situation of the stock market and the fund redemption.Using the distribution-lag regression model of the Panel Data, I showed that there was a positive correlation between the mutual fund performance and the investment-style coefficient. The portfolio characteristics of the open-end fund were changing in according to the risk. In the "bear" stock market, the mutual fund showed growth characteristics; In the "bull" stock market, the open-end fund showed the value characteristics in order to control the risk.In the fifth chapter, I investigated the relation between the mutual fund flow and the stock market performance. The empirical research showed that the stock market caused the mutual fund flow, but mutual fund flow did not cause the stock market volilatiy in terms of Granger causility. For the moment I could not find the "snow-roll"effect.In the sixth chapter, I provided some advices and policy suggestions for the open-end fund's development in China, based on the foregoing conclusion.