China's Open-end Fund Performance Evaluation Of Empirical Research

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. On the basis of the reviewing of the domestic and international fund performance evaluation literature and investment theory, this paper conducts in-depth interpretation of the theory and empirical analysis on the evaluation of overall performance, the ability of securities selecting and market timing and comprehensive performance of the open-end funds by using 36 partial shares of open-end funds in China between 2004-2007. By using classical methods, improve risk-adjusted methods and multi-factor model ,this paper carries out the empirical study on the overall performance evaluation of open-end fund in China; By using parameter method, Fama performance attribution model, carries out the empirical study on the China's open-end fund manager's ability of securities selecting and market timing; By using principal component analysis, carries out the empirical study on the performance of China's open-end fund comprehensive quantitative evaluation.Empirical study shows that China's open-end fund is able to overcome market, to some extent, this reflects the efficiency of China's stock market also is not high enough; There is not enough evidence to indicate that China's fund managers have the ability of market timing , but China's fund managers have the weaker ability of securities selecting; The verification of multi-factor model and the single-factor model shows that: China's open-end fund has been invested mainly in large growth companies; The results of open-end fund performance evaluation by using principal component analysis methods associate highly with other indicators, this shows that the fund performance evaluation by using statistics method is desirable.This structure is as follows: Chapter 1 introduces the cause of choosing this subject and structure.Chapter 2 reviews the basic theory of funds portfolio investment and literature at home and abroad. It mainly introduces the portfolio selection model of Markowits and the CAPM model.Chapter 3 summarizes the indicators and models of open-end fund performance evaluation. This chapter is the theoretical background of study in this paper, forming the core of this paper with the chapter 4.It introduces various open-end funds overall performance appraisal methods, for example: the classic method, improve risk-adjusted methods and multi-factor model, as well as the model of the ability of securities selecting and market timing .At last, it introduces the principal component analysis method for comprehensive performance evaluation.Chapter 4 carries out empirical study by using 36 partial shares of open-end funds in China between 2004-2007. On the basis of the empirical study, it comes to some conclusions on open-end fund performance evaluation in China.Chapter 5 summarizes these conclusions and introduces the inadequacies of this paper .Finally, it gives some recommendations on the optimization of fund performance evaluation in China.