Emprical Study Of Performance Evaluation On Equity Open-end Funds In China

The appeared of the first securities investment funds in 1998 declared that the funds industry founded in China. With the rapidly development of it, the securities investment fund have become one of the most important institutional investors in securities market now. The total net value of securities investment funds exceeded trillion yuan at the end of 2006. Evaluating securities investment fund performance completely, objectively and fairay plays an important role in promoting healthy development of fund.This paper firstly analyses and reviews the theory and method of the securities investment fund evaluating performance systematically. On the base of reviewing, the paper provides an empirical analysis of the performance of 30 equity open-end funds from Oct. 29, 2003 to Dec. 29, 2006. The results show that the return of the equity open-end funds surpasses the market benchmark and the risk of it below the market benchmark. The level of the risk of sample is differenct for the different investing style and unlimitied about investing national bond. There is no evidence that indicate the funds have security selection ability, but have significant market-timing ability. The security selection ability and market-timing ability show negative relativity.In the end of the paper, factor analysis and one-way ANOVA are performed to selcete the criterias. This paper constructs a completely evaluation systems by Utilites Additives DIScriminants (UTADIS) method with the selected criterias and investigate the validation of the result by leave-one-out cross validation technique. The empirical evidences show that the high scores sample funds are excellent performance in the risk-return characteristic, risk-adjusted return and the management ability of the fund manager. The low scores sample funds get the adverse perfomance.