Empirical Research On Performance Evaluation Of Open-Endeded Index Fund In China's Shanghai And Shengzhen Stock Markets

With the increase of funds'number and variety in China's stock market, investors have more and more choices among different funds, and as an important component of fund market, index fund has attracted more and more attention of people. But as the result of political reasons, there is little difference in performance of distinct kinds of fund. So what is the position of index fund in our country, whether its performance tracks and surpasses that of indexes and what particular index fund wins-all these are worth our careful analysis. A scientific and reasonable research on performance evaluation of index fund is meaningful in reality as on one hand it helps investors know about the index fund and invest wisely, and on the other hand, it helps index fund managers to conclude successful fund-managing experience and figure out their deficiency for further improvement.Recent years our country's Shanghai and Shenzhen stock markets have developed rapidly, however, the research on performance evaluation of open-ended index fund has relatively lagged. Based on the solid foundation of fund performance evaluation theories in developed markets, and combining the futures of China's stock market and current situation of index fund, the paper carries out researches on seven aspects-yield of index fund, risk of index fund, tracking errors of index fund, correlation between index fund and its tracking index, cointegration between index fund and its tracking index, yield rectified by risk, and capability of fund managers to select and adjust stocks according to different times. An integrated and systematic performance evaluation system consist of Jenson index, Treynor index, Sharp index, information ratio, H-M model, T-M model is constructed and applied to the open-ended index fund market of China for empirical research.During the process of empirical research, eight index funds which had been operated beyond one year by May 31, 2006 in Shanghai and Shenzhen stock markets are selected as theresearching subjects, and with the daily data of 453 transacting days from February 23, 2005 to December 31, 2006, which are obtained from Wind fund data and Dazhihui fund data, the paper gives comment of the whole performance of index fund in our country, evaluates different funds'performance, compares their performances and makes correlating and cointegrating analysis by means of SPSS, EVIEW and EXCEL soft wares. At last, many important conclusions are put forward after comparison between index funds and their tracking indexes, comparison between different index funds and comparison between enhanced index funds and totally copied index funds targeting the same indexes so that these periodic findings can be a foundation for further investigation and provide good advice for investors, fund companies and government supervisors.