The Empirical Research On Performance Evaluation And Factor Analysis Of Chinese Mutual Fund

The paper uses 233 samples'data in recent 4 years involving all types of domestic funds to study their performance, its factor and performance persistence by several methods. The paper uses 7 indicators (they are the net rate of return, Sharpe ratio, Treynor index, Jensen alpha, M2 measure, the rate of excess return per non-systematic risk, the rate of excess return per downside risk) to evaluate their performance. Then the paper uses TM, HM, and CL models to study their market timing and selectivity performance. Besides, the paper studies the funds' performance persistence by cross-sectional regression and a nonparametric method based upon contingency tables.The paper comes to some conclusions as follows:First, most funds have superior performance versus the market bench portfolio. However, different types of funds have different performance in different market quotations.Second, there is not enough evidence that shows neither equity funds nor mixture funds have superior selectivity performance. But these two kinds of funds have superior market timing performance, though this is not significant statistically.Finally, there is some persistence in the fund's short, interim or long-term performance, though it is not stable. However, there is even some reversal in several periods. Overall, the interim performance persistence is more significant than the short or long-term performance persistence. Blend and bond funds' performance persistence is more significant than other types of funds' performance persistence.