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An Empirical Analysis Of The Performance Of Chinese Security Investment Funds

Posted on:2005-02-07Degree:MasterType:Thesis
Country:ChinaCandidate:B Z WangFull Text:PDF
GTID:2156360122971173Subject:Business management
Abstract/Summary:PDF Full Text Request
With the continuous establishment of new funds and the super development of funds industry in our country, properly inspecting, analyzing and evaluating funds performance is becoming more and more important. Under the background, the paper tries to describe and analyze the performance of Chinese security investment funds at different stage from different angels as far as possible. On the basis of the ways of performance evaluation in the developed countries, we hope to sum up some characteristics of Chinese funds and give some useful references to the relevant investors, supervisors, asset management companies and the development of funds industry.As there are some deficiencies in related research on the performance of Chinese funds, such as benchmark, the number of selected funds and the period, we design appropriate benchmark on the basis of relevant Citic Index, select 33 close funds and demonstrate empirical research during the period from Jan, 2000 to Jun, 2003 .Within the period, the stock market has gone up and fell down. On the research route, we analyze the performance in terms of the ability, the component and the performance persistence respectively. The indexes we employed are the risk-adjusted performance(including Sharpe ratio, Treynor ratio and Jensen a ),adjusted T-M model, Fama's decomposition of over-returns and the two- way tables. The conclusions we draw are as follows:(1) In terms of weekly average yield without risk-adjustment, the aggregate performance is superior to the benchmark at all stages, and is higher than the non-risk yield when the market is booming, while lower in the depressed market.(2) The proportion of non-system risk in aggregate risk is a bit high and the diversity degree of portfolio is low, so it's proper that we select Sharpe ratio as the primary evaluation index. If we do so, Chinese funds performance is superior to the benchmark, which somewhat means that the market efficiency is not optimistic.(3) There is no significant difference in funds performance in terms of different size and different Asset Management Company.(4) With the adjusted T-M model, we find that ,during the whole research period, the funds show no positive ability of market timing. On the contrary, some funds show negative market timing ability. We can also find that Chinese funds have no preference for the stock size, but tend to invest those stocks, which have potential growth.(5) Most funds have demonstrated the significant ability of securities selecting during the whole period. When looking into the proportion of over-returns in Chinese funds, we find that the yield of securities selecting accounts for heavy weight and the yield is realized by the net yield of securities selecting.(6) In short terms the performance of most funds is persistent, but it's not significant in statistic.As we can see, Chinese funds achieve more yield than the benchmark, but have no positive ability of market timing and the performance is not persistent significantly. Besides the general factors issued before, we place emphasis on the market situation, the investment style of funds and the manager factors.With the empirical results and factors, we give some suggestions for the health development of Chinese funds accordingly and look forward to the future research.
Keywords/Search Tags:Security investment fund, Fund performance, Market timing, Security selectivity, Performance persistence
PDF Full Text Request
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