Stock Open-end Funds Performance Evaluation In China

The paper takes stock open-ended funds in China as the research object, and selects 30 sample funds. The sample interval is from February 28, 2014 to 29, 2016. By using daily, weekly, monthly and quarterly yield rate data, this article will give the open-end funds a comprehensive evaluation from three aspects of fund performance, fund managers’ selectivity and market timing ability, fund performance persistence.First of all, the paper gives a brief overview of the open-end funds, including definition and classification of the open-end funds and its development process and status.Secondly, the paper combs theories and models relate to fund performance evaluation. This article analysis the fund performance by yield indices and risk-adjusted return rate of three classical indicators(Sharpe, Treynor index and Jensen index), use T-M, H-M and C-L models for fund managers’ selectivity and market timing ability, and use the performance dichotomy for sustainability analysis of fund performance.Then, using the above methodology and models, the paper makes an empirical analysis of the selected 30 stock open-end funds performance. The empirical results show the following points: First, stock open-end funds of our country did not get better returns than the market benchmark portfolios, but the risk levels are lower than the market benchmark portfolios, so it has a certain ability to disperse the risk. Second, stock open-end funds’ managers of our country has a certain selectivity and market timing ability, but they did not have statistically significant selectivity and market timing ability; Third, in the bull market, stock open-end funds’ managers of our country do not have stock selectivity ability, but have a certain degree of market timing ability. In the bear market, stock open-end funds’ managers of our country do not have market timing ability, but have a certain degree of stock selectivity ability.Finally, the paper analyses stock open-end funds performance persistence in China by using the performance dichotomy, and found,whether it is at one-month intervals, or as a quarterly periodicity, stock open-end funds performance in China do not have significant sustainability, and there is a significant reversal phenomenon of fund performance nearly 30% of evaluation period.