Fund Performance Evaluation Theory And Empirical Study In China

Security investment funds, an advanced institution arrangement and attractive financial instrument, received much attention from investors around the world. The performance of security investment funds not only reflects fiduciary duty, but also offers decision-making useful information. It is a manual for fund manager and a guide for fund investor. It is very important for the development of fund industry and the whole security market.Accordingly, as for investors, performance evaluation of funds is the same important. Performance evaluation of funds is not only a method to evaluate the value of investment management but also a feedback mechanism to improve the investment management. It is an important link of the development of fund industry. Since, our current fund market is in its primary phase, the research and practice of fund valuation are in the bud and there have no evaluation system of our own. So the fund evaluation system of china becomes a pressing problem that should be settled. For this reason, the article puts the emphasis on the empirical research of the evaluation system of our country's funds performance, based on the theory analysis. The results of empirical research indicate: as a whole, the ability of the closed — end funds gaining market excess income is minus, and it's statistically significant. The mutual funds' managers don't have security selection ability. However, they have market timing ability to some extent. Statistically, the two abilities are not significant. At the same time, we find that mutual funds' managers of different investment styles have different ability of security selection and market timing. After adjusting risk, performance of most funds outmatches market benchmark;adopting t-m, h-m models to analyzing managers' securities selection ability, we find that managers own it to some extent, but it is not evident;adopting tm and hm models to analyzing managers' securities selection ability, we consider that managers don't own it. No matter which above models are adopted, managers don't own market timing ability, which are not evident too. After integrated analysis, the text infers that managers obtain securities selection ability by analyzing market common information. There are not evidences indicating that managers obtain excess income by stable push.