| Recent years have seen dramatic development of The security investment funds in china ,especially after the debut of the first open-end fund ,the asset managed by fund companies experienced sharp expansion. By the end of 2004,total asset of the whole industry has accounted for 25% of the total market value of our equity market.Meanwhile ,the funds has gradually begun to play an important role in nurturing investment idea and influencing the trend of stock price . With the booming of the funds industry,more and more families haved put their money in this new financial tool .It seems that the performance of the security fund industry has become to be closely related to people's life .With this background,making objective and accurate evaluation about the performance of individual fund has increasingly become a must .We think such evaluation will help to guide the decision of investors and protect their interests thus promoting the efficient allocation of social resource .It will also be useful for insuring the healthy development of funds industry and maintaining the stability of capital market. This paper intent to make a thorough study about the evaluation system of security funds of china with the combination of academic analysis and empirical research .This paper consists of two Parts: The first part composed by the first and second chapter mainly discuss the academic framework of the security funds,which includes the three risk-adjusted return model,stock-picking and timing model,Morningstar funds evaluation system and performance persistence model.This part underlie the theoretic basis of the whole article. The second part ,making evaluation about the 15 open-end funds founded before 2002.The sample period is from January 3 to march 18 2005.The involved work are:(1)making comparison about the net asset growth ratio , the three risk-adjusted return ratios and analyzing whether the performance of these funds can surpass the risk-free interest rate and the market benchmark.(2) Making test to find out whether the fund manangers have outstanding stock-picking and timing ability . (3) Testing the existence of short-term persistence of these funds with three methods.This part underlies the theoretical basis of the whole passage. The conclusion drawn from the above research are:(1)With the exception of Hua An 180 index fund ,the other 14 open-end equity funds all outperformed the risk-free interest rate and the market benchmark ,which demonstrated the security funds can help investors to share the benefits of rising market and to reduce the risk from downward market .(2)These funds showed certain ability of diversifying risk ,but they still bore much unsystematic risk.The reason lies in the poor efficency of the equity which has been troubled by deficient corporate governance ,opaque information and policy interference.(3)some fund managers have superior stock-picking ability .Some of them did have the ability to identify those hot stocks in certain period ,which contributed much to their outstanding return. (4) Almost all the fund managers failed to show timing ability. Althouth individual fund can diversify their risk effectively ,it's hard for the whole industry to diversify,due to the limited number of companies which are worthy to invest in our market. It's unavoidable that many funds concentrate on several stocks at the same time,which makes the reallocation of assets very difficulty once the market trend reverse.(5) We don't find any evidence to show that weely return have persistenc.But we find out that some funds showed certain persistence in their quarterly return .But due to the limited number of quarterly data ,we can't draw safe conclusion from our empirical research.Finally ,We put forward several pieces of advice aiming at the existing problems of the fund industry: (1)We should take steps to improve the operational efficiency of our equity market. The most important measure should be the substantial improvement of the quality of all the listing compa...
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