An Empirical Study On Investment Fund Performance In China

The evaluation of security investment fund performance has been drawn a great attention. In China, such evaluation is meaningful because it can help us to probe into the internal and external management model of the funds and to test the efficiency of the security market.In this paper, employing risk-adjusted measures, the author conducts an empirical study for the performance of the 33 security investment funds in China during 1999 and 2001. The study focuses on five issues as follows:1. The statistics of performance measures of the investment funds in each year,2. Correlation of different performance measures,3. The study on security selecting ability and market timing ability of the investment funds,4. The persistence in performance of the investment funds, and5. Attribution analysis of the investment funds.The following conclusions are summarized from this empirical study:1. The investment funds didn' t outguess the market in general evaluated with risk-adjusted measures. And with the increase of the number of investment funds, the ability of the funds to outguess the market is weakening,2. Performance evaluation with different measures reaches similarresults,3. The results do not support the existence of security selecting ability and market timing ability,4. The results do not offer enough evidence for the one-year persistence of investment fund performance, and5. Stock-picking ability is the decisive factor for investment fund performance.