Empirical Research On The Performance Of Chinese Stock Open-end Fund

In China, with the issuing of "Security Investment Fund Act" in Jun1st,2004, the fundindustry has stepped into a rapid and health development stage. Since then the fund net assetvalue managed by all the fund companies has been to￥2.2trillion with the type havingtransformed into open-ended funds from end-funds. There are1019funds with55end-fundsand964open-end funds containing293stock funds.The rapid increasing open-end funds on one hand provide another investment channelsfor Chinese investors and on the other hand promote the growth of diversified capital market,which has great influence on Chinese capital market. Especially, the risk assessment andcontrol of the financial derivative product has become the focus since the American financialcrisis. However, there are few tools available for the fund companies, governments andinvestors to evaluate the performance of every fund.At first, the results of these thesis show that there are few evidences support the opinionthat the stock open-end funds can earn abnormally higher returns than the markets. We useboth risk unadjusted index(the accumulative net value) and risk adjusted indexes includingTreynor’s Measure，Sharpe’s Measure and Jensen’s alpha to assess the performance, whichall show the same results. These conclusions are generally consistent with the hypothesis thatopen-end funds are sufficiently successful in finding and implementing new information tooffset their expenses.Secondly, the systemic risk belongs to the53open-end funds is higher than the market’s.Thirdly, although we have used different methods to assess the performance of theopen-end funds, the result seems to be the same. The correlation analysis of the three riskadjusted measures shows that they are significant correlation.Fourthly, all the stock open-end funds have the similar investment style.Fifthly, we do not find strong evidence that all the fund managers have the stock-choiceabilities and market-timing abilities.At last, all the53stock open-end funds have fund performance persistence in the longrun.