The Empirical Study Of China Securities Investment Fund Performance

Since 2006, with the number of closed-end funds into open-end funds, the number of closed-end funds continues to decrease. At the end of 2008, the number of closed-end funds from the peak of 54 down to 32. In stark contrast to this, since 2003 the number of open-end fund closed-end fund assets the first time scale, open-end fund closed-end funds to replace the mainstream of the market development. The end of 2008, the number of funds in China reached 438. Among them, the number of open-end funds reached 406 (including ETF fund, QDII funds), the number of open-end funds accounted for the proportion of the Fund reached a total amount of 92.7%.According to our statistics, between 2002 and 2006, the open-end fund net value of the best performing funds in the annual aggregate net growth rate of varieties and the difference between the worst was 14.80%, 34.98%, 26.25%, 26.87% and 97.21%. The reason why the open-end funds perform such a sharp differentiation is that the overall management of the Fund. The management of the Fund includes the ability to fund research, risk control, and management and ownership changes and so on.The selected sample of this fund were established before 2009, open-end securities investment funds, the sample period is January 5, 2009 to June 30, 2010, a total of one and a half hours. Involving a total of 88 samples of funds open-end funds, equity funds of which 44, bond 21, mixed 23. 362 trading days selected funds calculate the daily net asset value at the end. Risk-adjusted using the three classical methods and improved risk-adjusted method to open an empirical analysis of fund performance evaluation using the H-M model, T-M model of stock selection ability of fund managers and timing ability evaluation. The empirical study found that, first of all, our open-end funds under the risk-adjusted excess return has a certain capacity, that is, the level of return greater than the average market level of return. Second, our open-end funds do not have the selective ability and timing. Finally, the fifth part of the analysis obtained, the cost of open-end funds and funds with assets of concentration the yield was a significant correlation relationship.