Performance Persistence Research Of Open-end Funds In China Based On VAR

The research on the persistence of open-end fund performance is not just to explain the abnormal phenomenon of the financial market, it has penetrated into all aspects of the researched on funds. The importance of funds'risk management has been well known, but how to put them together in a right way is a very challenging task in contemporary finance study. There are still many problems needing further study in the future.This thesis first introduced the basic situation and the faced risk of open-end fund in China, the basic method for calculating VAR and the corresponding results. After that, China's open-end fund VAR was calculated. Based on the studying situation about persistence of open-end fund performance at home and abroad, this thesis uses a new performance evaluation method based on VAR, namely RAROC to study the persistence of open-end fund performance, which provide a new way to study the open-end fund persistence. In addition, another new method by using the market-timing and stock-choosing was put forward to study the persistence of open-end fund performance, which furtherdetails some indicators of open-end fund performance. By use of daily data, this thesis calculated the RAROC values of 24 open-end funds in the past four years (2004-2008). The evaluation on the persistence performance of the selected 24 open-end funds showed that the performance of these open-end funds is not sustainable. After analying the open-end fund managers'market-timing and stock-choosing ability in the past four years (2004-2008) by using two-way table, this thesis found that the managers'market-timing and stock-choosing ability was very undulant in these four years. But their performance is highly identical at some time and takes on a certain " herd behavior". The market-timing of fund managers and the net growth rate for the fund have the persistence, but the stock-timing of fund managers does not have the persistence.