The Empirical Research On The Performance Of Funds

As a new finance instrument, investment funds have four features: joint venture, operated by experts, undertaking risk and sharing return all together, it has become an important investment implement all over the world. With the improvement of our country's financial market, the funds'scale is increasingly expanding. Due to various characteristic and style in fund investment idea and operation way among funds, it's necessary to carry out evaluation to the performance of investment funds.The fund performance evaluation mainly includes the evaluation of overall performance, the ability of securities selecting and market timing, performance persistence and comprehensive performance of the funds. At present, domestic studies mainly focus on introducing foreign methods to evaluate the overall performance of Chinese funds, but the studies on the ability of securities selecting and market timing, performance persistence and comprehensive performance evaluation are relatively less, existing studies are deficiency in correct usage of methods, deepness and systemic of studies, such as misapplication of foreign methods, defect in comprehensive performance evaluation etc. Then this paper utilizes some new methods in fund performance evaluation to do an empirical research on performance of domestic fund. Through evaluation, common investor can choose fund with well performance, Fund Management Company can analyze whether they achieve or exceed their ante-objective and judge the adjustment of the fund investment strategy to the market in order to summarize experience, fund out deficiencies and promote the improvement of operation ability, meanwhile, supervisor can set down and perfect the rule of supervision.This paper include five chapters, specific content is as follows: Chapter 1 introduces the background, motivation as well as methods of this paper, and it also presents the paper's structure.Chapter 2 summarizes exiting studies on fund performance evaluation home and abroad. Firstly, this paper comprehensively reviews theoretic studies on fund performance evaluation in foreign countries. Then this paper summarizes the theoretic and empirical studies at home.Chapter 3 carries out further theoretic and empirical studies on the overall performance evaluation of the funds. Domestic studies mostly introduce foreign risk adjusted methods (mainly classical methods) and simply apply them to Chinese funds'empirical studies, and the uses of classical methods in many studies are improper and thus the empirical results drawn form those studies are biased. This paper utilizes VaR-GARCH model to quantify the risk of funds and introduces RAROC to evaluate the overall performance of funds.Firstly, it introduces the basic theory of VaR, ARCH, GARCH and the equation of calculating VaR by using VaR-GARCH model; then, it shows the advantage of using VaR-GARCH; then, it uses the newest data of 51 closed-end funds and 2 opened-end fund to analyze VaR; finally, it introduces RAROC to show the relationship of risk and return of sample funds and grasps the overall performance of the two kinds of funds in Chinese market. RAROC considers both risk and return and gives evaluation to the operation ability of funds comprehensively, therefore if counted by proper method, it exceeds traditional methods in many aspects. As to investment funds, through performance evaluation and absolute VaR, it provides more choices to investors.Chapter 4 focuses on the ability of securities selecting and market timing. First of all, it introduces Jensen model and its expansion, and then shows three basic models-TM Model, HM Model and CL Model. The last part is empirical study, some scholars have proved that there's little difference between the three models, so in this part it selects TM Model and analyze the empirical result. The result proves most fund managers have certain (but not notable) ability of securities selecting and market timing.Chapter 5 studies the comprehensive quantitative evaluation of the fund performance. Only a few scholars have gone on researches at present in China, but most of their researches have shortcomings in some degree, such as only carrying on qualitative analysis, or irrational indexes chosen, or comprehensive methods being too subjective and simple. Considering the characteristics of Chinese fund market, this paper selects proper evaluation indexes, puts forward PCA (Principal Components Analysis) method and sets up overall and rational fund performance evaluation system. In this paper, the comprehensive evaluation system of fund performance consists of five aspects including the overall fund performance, manager's investment ability, fund expenses, fund liquidity and fund growth ability, which consists of eleven indexes. On this basis, we utilize combined method PCA to carry out the empirical studies on Chinese funds. The empirical results indicate that the funds with outstanding comprehensive performance mainly include fund Pufeng, Tianyuan,Kehui, Yifangda Stability and Anshun, and the funds with worst comprehensive performance mainly include fund Longyuan,Penghua Industry, Fuguo Dynamic equilibrium, Hanbo and Baoying Dividend etc.In one word, this paper mends some defects of existing studies, perfects the comprehensive evaluation system of the fund performance, and carries on comparative research of the closed-end and open-ended funds'performance as well as introduces popular methods to carry through empirical analysis. The studies of this paper will push forward the domestic researches on the theoretical and practical studies of the fund performance evaluation...