Empirical Research Of Performance Evaluation Of Open-end Funds In China

With the rapid development of open-end funds in our country, the open-end funds are playing a more and more important role in securities business. Scientifically and rationally evaluating their performances, and corroborating the factors that influence their earning power can provide fund manager, investor and supervisor with abundant information for decision making. Based on this situation, the paper carries on analytical research as follows:Firstly, the paper introduces the study background and the significance of open-end funds performances, as well as the related research of domestic and foreign scholars in the field, including their research train of thought, method and structure. This chapter also expatiates on the relevant situation and the performances evaluation issue of open-end funds.Secondly, the relevant theories of funds performance evaluation are presented and analyzed, including evaluation method based on risk measurement, model of security selecting and market timing, and performance attributive analysis model.Thirdly, the paper chooses three classical risk-adjusted indexes, information ratio, Sortino ratio, T-M model, H-M model and Fama performance attributive analysis model to evaluate the performance of open-end funds, the fund manager's ability of choosing market time to select stock, the correlation of security selecting ability and market timing ability, the source of excess earning of fund combination, the coherence of various funds' performance evaluation indexes, in 2004 of China. It is concluded that as a whole, our open-end funds' performance level surpasses the market basic combination; fund managers have some selecting stock ability but not enough evidence, and fund managers have some but not good choosing market time ability; the excess earning of a fund is divided into selection earnings and risk earnings,and simultaneously the paper further decomposes selection earnings and risk earnings, and reveals the source of excess earning to provide investors refers for better choosing funds variety; The five evaluating indexes which take risk into account have high correlation with funds' performance ranking,and the ranking order based on the earning rate which does not consider risk adjustment is also highly relative to those based on taking risk into account. Founded on these empirical conclusions, the paper brings forward corresponding proposal.Finally, this paper summarizes some important conclusions for the empiricalstudy, and puts forward further research issues according to the empirical study and the actual situation of our securities business. Empirical analysis is the important characteristic in the paper.