The Empirical Research On Performance Evaluation Of Open-ended Stock Fund In China

Since 2001,open-ended stock funds have become the mainstream forms of security investment funds,with its advantages such as good selectivity,perfect liquidity and high degree of transparency of information disclosure:Particularly after the promulgation of Securities Investment Fund Law in June 1, 2004,open-ended stock funds have been developed unprecedentedly in terms of quantity or size. Having a direct impact on the decision-making of fund investors,fund management companies and regulatory authorities,the performance evaluation for open-ended stock funds has become the focus of attention in the financial field.The rapid development of the external environment,the demand from all parties of interests,as well as the defect of existing study has determined that it is of great theoretical and practical significance to give a perspective of empirical research on performance evaluation of China's open-end stock funds by choosing appropriate methods and the new operation data.Grounding on the ways adopted in western countries,and combining with the status quo of China's securities market,this paper tries to give a more comprehensive empirical reaserch on performance of China's open-ended stock funds,and then provide a reference to promote the healthy development of the funds.By using of indicators of yield index,risk-adjusted yield index(Treynor index,Sharpe index,and Jensen index),T-M model,H-M model,and two-way contingency tables model,this paper makes the evaluation on open-ended stock funds by the five aspects of month yield,risk level,risk-adjusted yield, market timing and security selecting ability,performance persistence.From the empirical analysis,the main conclusionscan be drawn as follows:(1) the samples excels market benchmark overall.(2)On the whole,both the overall risk and the systemic risk of the open-ended stock funds are less than that of the market benchmarks,but the systemic risk is still an important factor impacting the fund performance.(3) Different methods of performance measurement results represent high relativity,at the same time,the sortion results ranked by yield index shows a high relativity with that ranked by the risk-adjusted yield index.(4) During the evaluation time,the overall open-ended stock funds showed no significant market timing and security selecting ability.(5) During the evaluation time,samples have not shown a certain performance persistence either in short-term or in medium and long-term.Finally,this paper puts forword some countermeasures and suggestions related for improving the performance of open-end stock funds,on the basis of the empirical results.