Empirical Analysis On Performance Evaluation Of Chinese Stock Open-end Funds

The rapid development of securities investment fund gave birth to the research about the fund performance evaluation theories. And the development of the fund performance evaluation theory, in turn, had played a significant role in promoting the healthy development of the open-end fund industry. Now the open-end funds have become the mainstream of securities investment funds. And the stock open-end fund is not only an important part of open-end fund, but also the main investment products to most fund investors. Therefore, evaluating to its performance was made the purpose of this paper. And to the guidance of"Interim Measures on Evaluation of Securities Investment Fund"which was into effect on January 1, 2010, this paper selected samples for empirical analysis. This article was divided into four parts:The first part of this paper explained the related concepts and described the research background, purpose and meaning, and the recent status, the contents of this paper, methods and major innovation points and so on. As a starting point, this part introduced that this paper will based on previous research and the specific situation of China's securities market, and then made full use of the mature theory for specification analysis and empirical research, and also seek to make some innovations.Part II was the theoretical basis for this paper, and described the equity open-end fund performance evaluation theories and methods. At first this part introduced the classical open-end fund performance evaluation indicators and methods, the main of which included that the Treynor index, Sharpe index and Jensen index, and also the M2 measure which based on Sharpe index ,as well as Sortino ratio which belongs to the downside risk-adjust performance evaluation indicators; Second, this part focused on the theory to analyses the stock selection and market timing ability, three major theories of which include that the T-M model, H-M model and C-L model; Finally, this part described the performance persistence analysis theories and methods, including that the Spearman rank correlation coefficient test, cross-sectional regression coefficient test and Performance dichotomy test.Part III was primarily responsible for the empirical analysis which was based on the above theories and methods. The author selected 10 open-end stock funds for empirical analysis, and the evaluation period of the samples was longer than the former similar studies. The results showed that during the inspection period, the Performance of the sample funds was better than both the risk-free return and the market return. This paper chose the H-M model and C-L model to analysis the sample's stock selection and market timing ability. The results showed that most of the funds haven't shown a higher significant stock selection ability and market timing ability. And then this paper used the performance dichotomy test to detect the performance persistence of the samples. The results revealed that, during the evaluation period, the sample funds as a whole did not show significant performance persistence.Part IV summarized the main points and conclusions of this paper, and specific recommendations were put forward to investors, fund managers and regulators separately. In addition, research about the theory of downside risk is relatively small in previous similar articles, while this paper was focused on it. And empirical analysis showed that this indicator was more scientific and rational, as a result the performance evaluation indicator which based on it has more obvious advantages than the other indicators. Therefore, this paper suggested that we should pay more attention to this theory in the future. Finally, the author put forward a prospect for further research.