The Analysis On Performance Evaluation Of Index Funds In China

From 1970 s, index fund has been developing very quickly in international capital markets because of it s good performance. From the abroad practicing, the index funds have the advantages as follow: prevent investing risk, lower expenses on investment, simple and clear monitoring the investment, higher average profit and delaying tax. Furthermore, the growing and developing progress of the index funds on the world stock market could embody all those merits fully. If we expand the index funds, which will Though index fund is still very new in China, its advantages also have been appreciated by those people who pursue long and stable yield. This article establishes the empirical study model of performance evaluation of index fund in China. By using single regress equation, tracking error, cumulating yield, Treynor index, Sharpe index, Jensen index, Information ratio, T-M model, H-M model etc., During the process of empirical research, nine index funds are selected as the researching subjects, and with the daily data of 493 transacting days from July 3^rd, 2006 to June 30^th ,2008, the paper evaluate different funds' performance, makes co integrating analysis by means of spss, eviews and excel. The study result indicates that: index funds are high interrelated with their benchmarks respectively. The single index model can illuminate the fluctuation of index fund in good degree; index funds have a sound control in their tracking errors, and the pure index fund have an advantage over the enhanced index fund in this aspect. The index fund we study can obtain an excess yield relative to their benchmarks in yield target. When considering the risk-adjusted yield, we can come to the same conclusion. Most of the stock-picking and timing coefficients are positive, but few of which can pass the notability test, which shows that the index funds have weak selectivity and timing ability.