The Research Of Close-ended Funds Performance Evaluation In China--Based On Capital Assets Pricing Model (CAPM)

As a perfect theory in evaluating rate of capital assets, CAPM is largely used in rating fund performance. In this article some conventional models such as Jensen, Treynor, Sharpe, T&M have been used in 33 closed-ended funds coming into market before 2001 in China to give them an overall rank and evaluation. It concludes that in general portfolio managers appear to have no obviously higher ability than the market in changing portfolio composition. But from the Fama model, the minus between the return of the best and the worst fund is very big, which amounts to 1%. It also concludes that the results of evaluation based on suck models have high correlation and concludes that the managers also have no obvious market timing for based on T-M model no fund' s market timing passed 5% t test. So we conclude that there must be other aspects affect fund performance. According to that assumption Jensen' s a of 33 funds were analysed in groups to search for other aspects leavening fund performance. After analysing, we found fund scale and fund real investing style influenced their performance.