An Empirical Study On The Performance Of Chinese Security Investment Funds

It has been of great importance and significance to study the funds performance on the basis of proper inspection, analysis and evaluation with the continuous establishment of new funds and trans-normal development of funds industry in China. Facing the practice, we try to describe and analyze the characteristics of the performance of Chinese security investment funds at different stages from different angels as far as possible, grounding on the ways adopted in western countries. By doing so, certain value could be contributed to the relevant investors, supervisors, asset management companies and the development of funds industry. Confronting with the existing issues of the present research on funds performance in China, such as deficiency in market benchmark, limitation in sample fund and short term in evaluation, etc., the writer has designed an appropriate benchmark on the basis of the two stock market A-share index, CITIC national debts index and fund investment combination that is consistent with the current situation in Chinese funds industry. And carried out a series of empirical research respectively on closed-fund and open-fund at two evaluation sessions, and as well as a comparative analysis between the two kinds of funds. The main research route of this paper is adopt the single-factor risk-adjusted returns indexes , multi-factor model, Fama's decomposition of over-returns model, T-M model and H-M model, Markov's model, two-way contingency tables model and cross-sectional model, etc., upon which the analysis of the fund performance can process. By doing so, conclusions can be drawn as follows:(1) Our fund performance can go well as the large-cap is in a relatively strong force, but will glide as the market turns weak. However, it can be found that fund performance excels market benchmark during the two process of evaluation, and the performance ranks represent high relativity despite of various of methods. (2) The multi-factor performance model shows that ingredients of SMB and HML can influence the fund performance to a certain extent. (3) In terms of security selectivity, both open-end fund and closed-end fund have indicated the ability of securities selecting, but the former appears stronger than the latter. While in respect of market timing, it can be shown that neither of them possesses such kind of ability. On the contrary, the research demonstrated that some funds have even worked out the estimation totally reversed to the correct ones. (4) On the subject of performance persistence, it can be testified that during period I, closed-end fund can behave certain persistence to some extent, whereas during period II, most sample funds do not appear obvious persistence except for few ones.(5)Performances of different groups of fund vary greatly,which shows that fund performance of different scale and different style is statistically significant,yet fund performance of different fund management companies is not statistically significant. Lastly, the writer puts forward some suggestions on further development of security investment fund in China, founding on the empirical research results and the detailed analysis of its cause, upon which the future investigation of this field is prospected as well.