An Empirical Study Of China's Stock Open-end Fund Performance Attribution

The Shanghai index rose from 1161 points to 5261 points from the end of 2005 to the end of 2007, the total market value of stocks rose from 10.3198 trillion yuan to 40.0864 trillion yuan, the total net value of mutual funds rose from 475.7 billion yuan to 3.2786 trillion yuan. The Fund's performance analysis and research has been of concern to more areas. Fund Performance Study can be roughly divided into two areas, one is the measure of performance to decide whether the fund excess revenue, on the other hand is the source of income of the Fund, namely, the fund performance attribution analysis.This paper summarizes the Fund's performance attribution analysis results and the theoretical development process, and then apply these results on the fund industry in China, through the integrated use of T-M, H-M, C-L, GII, as well as Fama decomposition model on China's stock open-end funds Performance attribution, gives correlation analysis and conclusions. Through the analysis of the different models get some basic conclusions. Taken samples of China's stock open-end funds on the whole are better than the market's performance, but not outstanding, the study of the performance attribution show that the Fund does not indicate market timing ability, the majority of the Fund demonstrate some security selceting ability , but not prominent. According to effectively market hypothesis, in the semi-strong efficient market, open information has been fully reflected in stock prices, the professional institutional investors cannot beat the market. Empirical results indicate that, the Chinese market is not a semi-strong efficient market.the fund company as a professional institution, show slightly higher than the average level of stock market,this is also the reality of our stock market.