The Combination Of Open-end Fund Benchmark And Empirical Research

On the Fund's performance evaluation and risk control, the choice of benchmarks that the base of comparison of performance is essential. The market portfolio (including various kinds of market index) which was used for standards of evaluating the performance of fund's manager is not considered objective and unfair by the parties (including the sponsors, fund managers, fund investors). Because of the market portfolio including various kinds of market index does not reflect individual investment styles of all the investment managers.The general theory abroad believed that benchmark is the negative reflect of the fund's manager's investment in the absence of active management. Benchmark is significant and lasting witch is the features of portfolio of fund's manager, that is, benchmark includes typical securities chose by fund's manager and reflects the investment expertise of fund's manager. In the past 30 years, the benchmark portfolio theory developed very rapidly, and many scholars analyzed the nature, functions, and construction method of benchmark on the point of theory and demonstration. Many research results have become the theoretical basis of performance evaluation and risk management of institutional investor.Based on the theory of the Benchmark portfolio on the open-end fund in China, this article made a descriptive statistical analysis on nearly 300 open-end fund of 58 fund management companies in china, and based on this, further quantitative statistics analysis and demonstration analysis was made, to point out the current situation and the problems that exist in the selection and application performance benchmarks compare of fund industry in china. The paper is divided into five chapters: Chapter 1 is the introduction, to introduce the research background, existing problem, object and scope, and to do a simple combination of review about researches of benchmark at home and abroad. ChapterⅡof this paper is the core of the theory part. From the first quarter to the fourth quarter, the nature, orthogonal features, the function and the construction theory of the benchmark portfolio were introduced respectively. This chapter constructed the benchmark theoretical framework clearly. The third chapter describes the development history of the fund industry, the application current situation and existing problem of benchmark of China. ChapterⅣ: it is the part of empirical study. Based on the evaluation criteria of benchmark's quality and orthogonality property of benchmark, choosing 12 open-end funds as samples, empirical researched on the benchmark quality of the choices of China's open-end funds. ChapterⅤas the conclusion, summed up the innovation of this paper, and gave some suggestions about the application of the benchmark on the base of the former text.