Research On The Performance Evaluation Of Open-Ended Funds

In recent years, the fund developed at full speed in our country, up to the end of the year 2006 , our country has already issued 220 open-ended funds , and the assets managed by open-ended funds have exceeded 610 billion. USA's experience indicates that the performance effect carries out an objective on the fund , the accurate valuation investor beneficial to leading carries out the reason investment decision, promote fund job fair competition , ensure fund job health to develop. For this purpose, a comprehensive study for the investment funds performance evaluation should be carried out in our country. This paper can be divided into two parts: Part I, is composed of the second and third chapter , contents include: introducing some classical risk adjusting rate; introducing some timing and security choosing ability model; introducing some fund performance persistence model;(5) there being existing ARCH effect in specifically for the model , building up the comprehensive Jensen-- ARCH model, to remove the ARCH effect, improving mean value equation return validity. This part is the basis of the paper for carrying out next empirical analysis. Part II, 43 open-ended funds being founded for sample which was debuted before the end of 2003, The demonstration is checked and is reach the relevance conclusion and the enlightenment, be composed of the fourth and fifth chapter on structure. The conclusion of this paper is: (1) fund has certain ability on risk dispersing , and the systematical risk of the fund is smaller than benchmark's , embodying the fund to invest in the comparatively cautious characteristic of style; (2)The result's of Jensen model , TM model , HM model indicates that the fund manager has good securities choosing ability , but the timing choosing ability is not notable; The sample funds shows the certain performance effect persistence phenomenon ,(3) in the field of performance effect persistence, characteristic have embodied not effective marketplace of the security market, At the same time, different method , different data frequency will get to different persistence conclusions, embodying the complication of the fund performance persistence; (4) The author has discovered that there are almost 40%'s return equation items existing the ARCH effect in remaining Jensen model and the result has got part improvement; (5) The result of comprehensive volatility timing choosing model indicates that the fund do not have volatility timing choosing ability, on the contrary , the fund sometimes aggravate the fluctuation of the market, and fail to bring the stable market force as institutional investor , this also reflected the immature characteristic of the security market.