Empirical Study On The Performance And Its Persistence Of Chinese Security Investment Funds

As the important organization investor in the financial market, the security investment funds have positive effects in stabilizing the security-market, broadening the channel of investment and financing, and adjusting the filowing direction of capital. It is also the important tool for the mass investors to achieve professional financing. Along with the continuously growing of the funds industry in the world, the fund investor, the fund company, and the fund-supervising department pay more and more attention to the appraisal of funds' performance. The appraisal of funds' performance already becomes one of important part in the development of the funds. Nowadays, the development of the the funds industry in China speeds up gradually, the fund scale extends steadily, the fund catogary improve continously, the quantity of fund increases stablely, so the needs to a effective theory and method of appraisal of funds' performance which is the support of the development of funds industry are urgently.The purpose of this thesis is to a fund performance evaluation model with the mothod of Characteristic-based measure (DGTW) through unscrambling reaserch thesis inside and outside our country. This thesis takes the stock fund as the research object, and divides the A-stock circulating in Shanghai market and Shenzhen market into Passive Portfolio with three factors which are the Size of the corporation, Book-to-Market ratio and Momentum.These Passive Portfolios can provide the standard rewards of stocks held by security investment funds. Then this thesis decomposes the whole funds' performance into Characteristic Selectivity (CS), Characteristic Timing (CT) and Average Style (AS). Finally the thesis carries on the statistical examination of the persistence of funds' performance.The results of empirical study show that: Majority of funds managers have excellent ability of Securities-Selectivity, but such ability of someone are not remarketable; All of the selected funds managers don't have the ability of Market-Timing; In the aspect of funds Average Style, there are 14 funds of 40 selected funds whose AS value larger than zero; majority of funds can achieve higher investing rewards than Passive Portfolio, almost all the rewards originate from the ability of Securities-Selectivity of the funds manager; The result of appraising the persistence of funds' performance with compound accumulation rate is that the performance of selected funds do not have the persistence in the selected time.