| In recent years, as the current managing money product, the open-ended security investment funds are attracting more and more investors purchase. So, how to choose right funds that accord to their return—risk preference is becoming the investors focus. Therefore, we should build perfect open-ended fund performance evaluation system, and appraise sentificly the open-ended funds investment performance, which are very important not only investors appraising sentificly funds'investment value, but also the supervisors grasping fund operational state in time accurately. Just based on these, we researched on the theory and empirical seriously for performance evaluation of the open-ended funds in China, and analyzed thorough the study results.At first, the open-ended funds'characteristic and performance evaluation has been analyzed by the basic theorise such as modern portfolio, CAPM, APT, EMH and behavior finance. Recuring to the performance evaluation methods and the models which developed based on these basic thories and combining the fact of fund market in China, the performance evaluation system for the open-ended fund has been designed.And then, 33 sample funds has been gained by the three conditions that are listed before December 31, 2003, stock asset not lower than 60% in the asset allocation and keeping the enthusiasm investment style and built the market benchmark portfolio based on Citi-Standard & Poor's series index. Based on these, empirical studies have been carried out for the open-ended funds'performance in paper as fellows. First, funds'accumulating net value earning ratio by every year comparatively the benchmark portfolio has been analyzed and found that funds had got the earning ratio exceeding the benchmark portfolio every year, furthermore distant exceeding nothing risk earning ratio. Second, funds'earning by risk-adjusted has been proved by empirical between the market raising phase and dropping phase by Tenyor index, Sharp index and Jensen index. The results shows that funds embodies out some advantage of expert managing money between the market raising phase and dropping phase and has got the exceeding market avails. But relative to the benchmark portfolio, performance by risk-adjusted in the raising phase is inferior to the dropping phase. Third, investment style at different market quotations has been distinguished by three factor models. The result shows that funds are prefered very in large-cap stocks, and investment style has obvious isomorphism and unstability. In the market raising phase, funds investment style mainly show balancing style, but in dropping phase, they nearly all show growing up style. There are very similar between the performance of style-adjusted and risk-adjusted. Fourth, when proving funds'performance source by T-M model and H-M model, we find that funds good performance are manily contributed to the security selectivity, and no adequate proves indicate that the managers are capable of market-time grasping. Also, managers can't have the two abilities of security selectiving and market timing holding at the same time. At last, funds performance persistence has been proved by Cross-section regression and Contingency tables at the unit of quarter, half-year and year. The result shows that past achievement behaviour hasn't contained information useful for future.Lastly, based on summarizing the inspiration of the positive study conclusions, some suggestions on future development of open-ended funds of our country were put forward, such as introducing finace innovation-instrument step by step, improving the system of publicizing the information, regulating funds'opration on market, and establishing a standard system of performance evaluation for our country's open-ended funds. |
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