China Banking Fund Performance Evaluation

In February, 2005, Administration of Pilot Projects for the Establishment of Fund Management Companies by Commercial Banks Procedures allows commercial banks to establish fund management companies through various forms. This procedure is a legal foundation for bank-owned fund management company. It means that the door of China's mix-industry has been opened. The Industrial and Commercial Bank of China, Bank of Communications, China Construction Bank are the first batch of commercial banks, which established bank-owned fund management companies. In 2005, Three bank-owned fund management companies all raised their first stock-funds.As an attempt of China's mix-industry, whether the performance of the funds, which raised by bank-owned fund management companies, is better than the performance of the same type of funds which are raised at the same period. It is the focus of this paper. For the results of analysis will be not perfect when the sample interval is too small, this paper used the first open-end lease-stock funds raised by three bank-owned fund management companies and other 12 funds, which is the same type and raised at the same period as sample. The research period is January 1, 2006 to June 30, 2007.At first, this Paper introduced the background of the study, research and the status quo on this content, methods, innovation points and shortcomings. Then, this paper analyzed the status quo, advantages, risks and the economics theories, which give explain for banks to establish fund management companies. The advantages of bank-owned fund management companies are mainly embodied in the client base and good reputation, advanced technology systems to support business, rich in money market operations experience and information superiority, and so on; The risks are mainly embodied in the affiliated transactions, risk transfer and cross-Trusteeship Council, and so on. The major part of this paper is performance evaluation of the funds which raised by bank-owned fund management companies, using traditional methods and DEA (Data Envelopment Analysis) model. After introduce and analysis of traditional fund performance evaluation indicators, such as unit net assets, investment yield, Treynor Index, Jensen index, Sharpe index, as well as DEA model, this paper used these traditional indicators, as well as DEA model to evaluate the performance of the Funds. At last, this paper got a conclusion: In the stock-fund market, the performance of the funds raised by bank-owned fund management companies did not show significantly better than other funds. Maybe, It was effected by the situation of China's stock market during research and investment style of the bank-owned fund management companies, and so on.