Performance Measure Of The Open-ended Funds In China Stock Market

This paper is aimed to examine the performance of open-ended funds which emergedin China stock market since 2001, and the market timing ability of mutual fundsmanagers. We sampled 29 Stock-Style open-ended funds that went public before Jan1 2004, and the observation period is between Jan 1 to Dec 31 2004.Sharpe index, Treynor index and Jensen index, the three risk-adjusted performancemeasures are used to examine the performance of these sample funds. We found that(1) nearly all the funds performed better than the market index when measured by anyof the three risk-adjusted performance methods, which implies the China stockmarket is not efficient currently;and (2) not only the rank results based on therisk-adjusted performance measures show very high correlation, but also the rankresults between the non-risk-adjusted and the risk-adjusted performance measures arehighly correlated, which indicates that the rank result based on value change could beused as a rule of thumb.We also use T-M model and H-M model to examine the market timing ability withmutual funds managers in China. We got the same outcome as declared by manyother foreign researchers, which there is no statistical significant evidences showmutual fund managers possess market timing ability. The managers therefore gainedthe risk premium by stock selection but not market timing. The R-Squared value inthe linear index model indicates that most funds have greatly diversified thenon-system risk.