The Empirical Study Of The Performance Estimation On The Open-ended Funds Of China

Huaan chuangxing, the first open-ended fund came into existence in September 2001 which changed the phase that the fund breed was single in the sucurity market of our country. Over 400 open-ended funds was founded by october 2008, open-ended funds have exceeded the closed-end funds whether in quantity or scale, and have become the institutional investors which holds the balance in the security market in our country. Along with the rapid development of open-ended funds, people become to concern their performance generally. The problems whether the open-ended funds can reveal the ability of specialist financing, and if they can earn favorable income for the shareholders, and whether open-ended funds can overcome the new security market of China are all the focus which are concerned by the people. Just for that reason, the writer has designed an appropriate benchmark,choosed foreign matured performance evaluation models and carried out a series of emrirical research respectively on open-ended funds from follow aspects. Fist,we chose the comparative benchmark. We then measured the risk-adjusted and non- risk-adjusted performance of the equity open-ended funds under manifold evaluating models. The revenue without risk-adjusted included the weekly net value increasing ratio, while the risk-adjusted revenue included the Sharp ratio, the Treynor ratio, the M2 ratio and the Jensen alpha. Second,we chose Fama's decomposition of performance model , T-M model and H-M model to test if the fund managers can make exact dicisions to buy which securities and when to buy and sale. Lastly, we chose contingency table and regression to test performance persistence of open-ended funds.Through the empirical study,some conclusions can be drawn as follows: 1 . our fund performance excels the mark benchmark, but its good performance mainly contributed to the market timing electivity. 2. In terms of market timing selectivity, open-ended funds has indicated the ability of market timing selecting. While in respect of securitys electivity, it can be shown that funds don't possess such kind of ability. 3. the performance persistence of the open-ended funds was not apparent. The funds all appeared significant performance persistence and performance reverse phenomena during short period,median period and long period,but frequency of this performance persistence phenomena is very small. The result means that the performance persistence of the open-ended funds was not apparent.The performance of the funds in the past did not contain useful information for the performance in the future, people who invested the fund which perform better in the past were not sure to earn. This result will provide some useful apocalypses for people.Lastly, according to the empirical results and basic actuality, the writer puts forwards some suggestions on further development of security investment funds in China, such as pushing the standardization of security market, strengthening the efficiency of market, improving the system of publicizing the information, establishing a standard fund performance estimation system, etx.