| In the September 21,2001,management approved the first open-end fund -- Huaan Innovation Fund.So far, China has set up more than 200 open-end funds.The rapid development of open-end fund reflects the diligence and hard work of management in stable market and protects the interests of medium-sized and small investors. However, the open-end fund is still a new thing in China. Because the funds'investment concepts and practices in their own characteristics and the style of their performance and risks vary greatly, with the open-end funds'inherent strengths, the funds'performance has become a focus of the community's concern about the problem. Thus, fund performance evaluation is very important.In 20th century before the 1960s, the performance of investment funds, unit investment funds are mainly based on evaluation of the net assets, net investment income and growth rates for these indicators. This abstract concept of risk has not been given a specific measurement. Yield a fairly long period of time is an important indicator of investment performance evaluation. Securities investment fund and other risk assets need to be resolved first is the expected return and expected risk that the two core stated. In this context, Markowits (1952) theory emerged. Markowits established a portfolio expected return, risk and effective method of calculating the boundary theory establishing the optimal allocation of assets mean-variance model, the model used to assess the performance of the overall fund. But its model of the practical application is complex constraints; securities analysts are suitable for the establishment of a fund to assess the overall performance of the model, so that it can be widely applied. Treynor(1965), Sharpe(1966) and Jensen(1968) model to represent the three indices greatly simplify the complexity of the funds'overall performance assessment, known as single factor overall performance assessment model. Single-factor model for the study are based on the CAPM. Currently, these three fund performance evaluation model are most popular in the developed capital market. Jensen measure is on the basis of the valuation ratio of its non-systemic risk adjustment. Measure from the Jensen easier for the significant advantages of this test, it does not apply to non-systemic risk of completely scattered. CAPM model for the more than a single model can not explain the classification of the fund in accordance with the characteristics of the stock portfolio the difference between receipts, researchers used multivariate model to replace the single-factor model of fund performance evaluation.Fund managers selective ability is the major fund managers in terms of stock market value than the entire stock had been overestimated or underestimated recognition from the capital asset pricing model perspective, also means fund managers expect to find those lines yield significant departure from the stock market's ability. Optional Securities Investment Fund when the fund manager is the ability to forecast trends in the market. If fund managers can more accurately grasp the overall market to the next, constantly adjusting its investment portfolio risk assets through high-risk and low-risk assets, or even the constant change between risk-free assets to overcome the market. T-M model and H-M model is tested when fund managers selective ability and the ability to choose the model used in the comparison.Fund Performance Persistence refers to the sustainability of the performance of the fund's performance in different periods are consistent or not. Good performance early in the next issue of whether the performance of the fund. And the poor performance of the fund early in the next period is not a good performance. If fund performance agreement that the performance is sustainable, on the contrary it is that performance is not sustainable. The research in Fund Performance Persistence of the foreign and domestic is few. Research methods of performance of the fund continuing can be divided into three types: performance dichotomy, return test and Spearman rank correlation coefficient.Since the time of Chinese open-end fund operation is short, in order to enable a more empirical analysis of statistical significance, this paper December 31, 2002 as an open-end fund listed on the 15 study, evaluation period is December 31, 2002 to December 31, 2005. This article first use three indicators and the average risk-adjusted rate of return index: Jensen index, Treynor index and Sharpe index to do empirical study of the performance of Chinese securities investment funds. We choose T-M model and H-M model to evaluate the ability of funds in choosing securities and time. Finally, we use performance dichotomy to research the performance of the funds'continuing.The main conclusions of empirical analyses were as follows: first, Chinese open-end fund market benchmarks by more than income overcome the market. Note the active fund managers make the investment income surplus and demonstrate a certain ability of financial experts. Foreign studies have shown that the same level of risk, securities investment funds market rate of return does not exceed the yield of the benchmark portfolio. This, in a sense, supports the validity of the assumption of their security market. Similarly, Chinese securities investment funds are superior to the performance market, reflected to a certain extent in Chinese securities market efficiency is not high enough. Second, empirical studies have shown that open-end funds had better ability in diversifying risk. Open-end funds had a higher risk of below-market benchmark yield. During the evaluation of the funds'investment portfolio, non-systemic risk is a larger share of the total risk. The main risk of the funds is from its own investment portfolio, the funds'investment portfolio is less diversified. Third, the various methods of performance measurement study found that the three risk-adjusted evaluation method, although on different yardstick to judge the performance of different, the results are all very similar. Meanwhile, the yield risk factors not considered indicators of the fund's performance rankings and the risk-adjusted performance evaluation of the fund's ranking has higher correlation. This, to a certain extent, shows that the rate of return on funds ranked a strong reference for investors. Fourth, the empirical results show that in a period of fund managers have shown a certain degree of selective ability but do not have the ability of choosing time. The empirical results also did not find evidence of the ability to choose time of foreign fund managers. With the first conclusion, we can conclude that Chinese securities investment funds in a given risk level higher than the market average, the excess revenue is through the choice of certain securities. Fund managers'selective ability demonstrated a negative correlation to ability of choosing time. Fifth, the sample funds during the evaluation whether short-term or long-term results have demonstrated a certain degree of continuity. The funds had relatively good performance continued good performance and poor performance of the continued poor performance of the fund. Due to the limited sample paper for the performance of an open-end fund continuing research evidence now only 16. Only 36 samples of view, there is evidence of the continuing performance of some reservations about the findings.According to previous research findings and evidence of the actual situation in China's securities market, we can put forward the following suggestions: first,law as soon as possible and improve the regulatory framework, strengthening supervision and management. Second, strengthen financial innovation and introduce risk aversion tools in the capital market gradually. Third, establish as soon as possible to improve the standardization of the information disclosure system and an independent fund rating agencies. Fourth, establish an effective incentive and restraint mechanisms to improve internal checks and balances mechanism, establish a high-quality fund management team. |
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