Performance Evaluation On The Open-end Fund In China Basing On False Discovery Rate

Since the first open-end fund set up in 2001,the open-end fund in China has been developing for 15 years.As the growing of its capital size and market activity,open-end fund has become one of the most important parts of the fund market in China.And with the development of the fund market in China,the performance of open-end fund has received more and more attention from investors and researchers.Actually,the performance of investment fund is affected by two factors,which are the fund managers real capacity and the random factor.There are quite a number of open-end funds getting excess returns because of the random factors rather than the real capacity of the fund managers.Therefore,in order to know about the real profitability of open-end fund in China,we need to study on the real situation of the investment fund performance.The research methods of the investment fund performance mainly include the overall performance analysis method and the decomposed performance analysis method.Through selecting appropriate performance indicators,these methods mainly use corresponding models to measure the performance of investment funds and the factors affecting the performance.However,the main factor that these methods focus on is the real capacity of the fund managers,while the focus on the random factors is not enough.Therefore,in order to know about the real situation of the investment fund performance,quite a few researchers make analysis by the hypothesis test of the statistical method,and the main methods contain the false discovery rate(FDR)method.Based on Carhart four factor model and the relevant theory of false discovery rate,this paper try to study the real situation of the open-end fund performance in China and the influence degree of the fund managers real capacity and random factor on the open-end fund performance by the FDR method and the extended FDR method.Combining with the results of empirical analysis,this paper provides advice to investors,fund companies and regulators respectively,and makes appropriate prospect of the development of open-end fund in China.