The Empirical Research On The Performance Of Our Equity Open-ended Funds

Since 1998 our country's first real sense close-ended fund called "Kai Yuan" has been listed in Shenzhen stock market successfully, the securities investment funds has obtained the general investors' favor and has got a place in the securities market, by its unique superiority in investment portfolios, spreading of loss, profiting across-the-board. Along with the high speed development of our economy and the overseas advanced investment ideas'infiltrating continually, our country securities investment fund's development has been exceptionally strong. Especially with our first open-ended fund "Hua'an innovation" appearing in 2001, which symbolized that the development of our country securities investment industry has stepped a new stair. Fund companies established in great numbers and the fund assortments emerged one after another incessantly, and the funds were founded from simple close-ended fund to innovative close-ended fund, the open-ended funds were settled from the stock to the bond again to the type of hybrid fund, afterward as well as the appearing of ETF, LOF, QDII and QFI in recent years. In addition, various fund companies are also developing internal new fund on its own such as child-type fund, mother-type fund, and umbrella-type fund and so on, in order to attract investors. Simultaneously the fund companies are also been combined with its fund custodian bank to open new business like automatic investment plan with fund to abstract the investors'eyes. All sorts of signs indicate that the securities investment fund has already become the most influential and indispensable institutional investor in our country's securities market.Since securities investment funds, especially the open-ended fund has become the most influential institutional investors in China securities market, its investment concepts, investment styles, investment strategies, investment level of management and the investment performance, which all plays a key role in the trend and stability of our stock market. Therefore this article chooses some open-ended funds' performance with stock-type by empirical analysis and evaluation, which has quite important and urgent realistic significance. Firstly, from the perspective of government supervision level, the research helps government regulators to understand the whole development of our investment fund industry, to master our fund companies especially the investment fund managers, to guide them investing rationally, and to keep investors'interests from been damaged and unfair transited by fund companies. Secondly, from investors' level, the enemy can not be unawareness, especially in the securities market in which the risk could be everywhere. Only with full understanding of the funds with their ratio of the risk-adjusted returns, their fund managers'ability of choosing time, stock and funds' continuous performance, that investors can select fund and obtain profit. At last, from the fund company stratification plane, on one hand the companies can have certain insight of their managers' investment achievements through bringing the profit who obtains with interior other fund managers or other company's managers, which can help the company high-level to make some management decisions as whether to replace the fund manager or not, then to improve investment strategy, to realize capital appreciation, to provide a better service for the investor, and to bring a better income for both investors and fund companies.This article selects 40 equity open-ended funds which had listed before 2007 and observes their performance from 2007 to 2009. And this paper is divided into five sections.Section 1, which introduces the research's background and significance, the primary coverage and the logical orders, as well as this article's major work and deficiencies.Through reading and referencing massive literature, Section 2 takes some our country securities investment fund's definition and category, meanwhile the risks which are presenting in our country stock market has also been carried on the elaboration. And the most important thing this part has carded and collated is that it reorganizes the domestic and foreign securities investment fund achievement appraisal and the research technique literature. After finishing the second part with the basis of literature review, section 3 in detail introduces several evaluation methods on our equity open-end fund performance, including simple net yield, arithmetic method of average and geometrical average yield rate evaluation method, based on the risk-adjusted Treynor index method, Sharpe index method, Jensen index method, valuations ratio method, and the method of M2 index. This part also offers T-M model, H-M model, and C-L model to examine the fund managers' abilities in choosing timing and stock; and the regression method on consideration whether the stock-type fund has the continuity in evaluation period, the transfer matrix method and based on the transfer matrix method that sets the overall level of persistence.Section 4 is the part of empirical research. Firstly it introduces the methods how to establish samples funds, market benchmark, risk-free return determine, and then according to the introduction of the performance evaluation method of section 3 give certain specific empirical research and analysis. The empirical analysis part uses the method such as weighting OLS, Pearson simple correlation method, Spearman correlation method and Kendall related method as well as the model of generalized condition different variance called EGARCH (1,1).After analyzing the conclusion of the securities market of our country, the last part also concludes some conclusions and gives some relevant policy suggestions to promote the performance of investment fund industry.