Research On Empirical Analysis Of The Performance Evaluation Of Chinese Mutual Funds

The mutual funds have become one of very important organization investors, and have produced more and more in-depth influence to the development of Chinese finance industry and national economy. The research on the evaluation of the performance of mutual funds is an important aspect to promote the robust evolution of Chinese fund industry. It is very valuable for the investors, the administer companies of fund, or the supervisory department of market to build the integrated evaluation system of the performance of mutual funds. Based on the application of statistical analysis and econometrical techniques, this paper deals mainly with the evaluation of the performance of mutual funds in Chinese security market. The main content includes:(1) Evaluating the volatility and return characteristics of mutual funds and judging whether the return of mutual funds exceeds that of benchmark and whether mutual funds can diversify risks. (2) How much of the return of mutual funds that outperforms the return of benchmark can be reduced to the managerial capability of the managers of mutual funds? (3) Among the various performance indices, which one is applicable in Chinese security market? (4) How much of the excess return of mutual funds can be reduced to the security-selecting ability and timing ability of the managers? This article is aimed at establishing an appropriate performance-evaluation system of Chinese mutual funds and testing its applicability in Chinese security market. The results of this paper indicate that: 1) The risk-adjusted rate of return of mutual funds outdistances that of benchmark, which manifests that mutual funds play a role in aggregate security investment and professional management. 2)The systematic risk of mutual funds does not exceed that of benchmark, and the total risk of most of mutual funds is less than that of benchmark. This fact shows that the role of mutual funds in diversification has emerged gradually during the 5 years development of Chinese mutual funds . 3) The single-factor model excels in multifactor model in evaluating the performance of mutual funds. 4) In Chinese security market, Sharpe index is better than Treynor index and Jensen index in the evaluation of performance of mutual funds. Sharpe index can rather reflect the relation between volatility and return characteristics of mutual funds. 5) Although most managers of mutual funds bear security-selecting ability, there is little evidence to justify that these managers abound in timing ability.