Chinese Fund Performance Study-Based On Different Periods

With the development of capital market , security investment fund has played a more and more important role in our life, especially the open-end fund. How to evaluate the performance of funds becomes an important thing to fund companies,investors and others.This paper carries on researches as follows:Firstly, the paper introduces the funds development history and current situation. Also, it explains why open-end funds are more and more important to us. Research contents and structure are provided at last.Secondly,the paper briefly looks back the theories and native empirical results. Also it introduces the classical theories including three classical risk adjusted indexes, T-M model, H-M model and the performance persistence analysis methods. This paper combines the Treynor Index and Jensen Index to sort order for the funds. It's a new method. Also this paper adds the dummy variable to the model H-M and T-M to test the abilities of market timing and stock selection in different periods.Thirdly, the chapter uses the method which has been introduced to analyse the performance of 28 open-end funds from Apr. 2004 to Apr.2007. After these researches we can draw the following conclusions:(1)If we don't care about risk, the funds surpass the market in different periods. As we know, in weak securities market, the return is relate with the net selectivity return, and in strong securities market, the return is relate with the manager's risk return. (2)When we use the three risk adjusted indexes, the results show that there's no persistence in different periods(.3)The paper revises the model T-M and H-M, and some funds have proved that they have the trend selection ability.Finally, the paper proposes some advice for the problems and some enlightenment for a further study.