| With the rapid development of China’s securities market, investments’number and variety are increasing.As an most active component of fund market, index fund has had very good range and attracted a lot of attention of people, which experience from in-existence to existence, from a limited amount to much, from the closed to the open. By November 2014, our security market has issued 395 open-end index funds, which indicates index fund gradually penetrate the A-share market and plays an important role. However, influenced by the institution factor, there exists no obvious differences among index funds. Since China’s securities market is still a low-efficient market, the price of index funds can not reflect all information of market. So, how to choose investment object and examine the fund’s performance has become a consideration of investors, regulators, fund management companies and rating agencies. The significance of the research is to help investors to rationalize investments and provide effective management approach to fund management companies.Based on evaluation of domestic and foreign scholars on index fund performance and combining current situation of domestic security market, this paper analyzes index funds theoretically, defines them from the conception and has context analysis and status of research from history and development.Performance evaluation system established by theoretical analysis needs to be examined by empirical analysis. This paper takes open-end index funds from January,2008 to December,2014 as samples, and evaluates the operation of open-end index fund of our market in three aspects, which is tracking errors of standard deviation, return model and the securities-selectivity and market-timing ability, by means of Eviews and Excel. After getting fund’s performance through 3 period, this paper establishes the research of persistence in open-end fund performance. For the issue of persistence detecting, the method of cross-sectional regression and contingency table are traditionally used. Rank correlation approach and Kolmogorov-Smirnor test are also introduced in this article.This paper comes to a conclusion based on empirical results:(1) In the empirical analysis of correlation, the correlation of full replication index funds is higher than enhanced index funds. And performance of index funds in apparent market trend is superior to that in market shocks. (2) In the empirical analysis of tracking error, the average of tracking error of full replication index funds is lower than the average of enhanced index funds. Most index funds tracking error is more than its threshold described in the prospectus, which indicates that the tracking error of open-ended index funds is basically failed to meet established standards. (3) In the empirical analysis of return model, when the market is advancing, full replication index funds have under-performed enhance index funds. However, the situation is contrary in the declined market and shocked market because of the limitation of a series of active measures. And we find that in the bull market, higher income usually associates with higher level of risk. (4)In the empirical analysis of HM and TM, we find that most of open-ended index funds do not have obvious ability of choosing shares and seizing opportunities. (5) In the empirical analysis of performance persistence, open-ended index funds in China is not continuous in the long run, but only in the individual one or two years.Finally, this paper puts forward some useful suggestions for investors, management managers and regulator combining the national conditions and special market conditions:(1) Specify the securities market operation mechanism, reduce the negative influence of inside information and audit the investment intention and direction of institutional investors and the introduction of foreign strategic investors strictly. (2) Regulators can strengthen information disclosure of small and medium-sized enterprises on the basis of cost control. (3) Funds industry could use laws and regulations to further promote the construction of securities market legal system and severe speculation and manipulation. As a result, there measures can have an effect on market defects and accelerate the maturity of securities market. (4) Establish a suitable standardized index funds evaluation system and form a standard process from the evaluation goal, evaluation index and evaluation objects so as to display the index fund returns to the maximum. (5) Intensify innovation and develop financial derivatives. (6) Build an independent and professional rating agencies, make use of expert judgment on the fund management company’s financial capacity and adopt fund performance evaluation system to assess index fund performance. (7) Enhance professional fund managers ability, cultivate the sensitivity of market and do not promote false advertisement. At the same time, the index fund investors need to rationally identify risk existing in index funds, pay attention to the diversification of investment and reasonably use historical data of index funds. |
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