Empirical Analyses On The Performance Evaluation Of Open-end Securities Investment Funds

In 1998,the first strict enclosed securities investment funds—Fund Jin Tai and Fund Kai Yuan were established;In 2001,the first open-end fund was issued;In 2005, commercial banks were allowed to set up fund management companies;In 2006, closed-end funds were changed into open-end funds.With the rapid development of economy,constant improvement of the system and gradual advancement of financial products,our fund industry has achieved great success only with 11 years,compared with 100 years of foreign fund industry.There have been enormous changes in scale and structure in our fund industry.Under the background the new economic development,stakeholders have paid more attention to objective and reasonable performance evaluation of numerous funds with different styles.A complete fund performance evaluation system includes:measurement of fund income and risk,analyses on investment capacity of fund managers and analyses on fund achievement persistence.The article uses domestic and foreign research results for reference,bases research on China's security market,selects 20 open-end securities investment funds from 2004 to 2008,elaborates systematic theories,carries on empirical analyses on income-risk measurement,fund managers' investment capacity,achievement persistence of open-end securities investment funds,puts forward conclusions in phases and raised suggestions for reference.The article uses classical risk-adjusted income indicators,VaR model,RAROC model based on VaR,T-M model,C-L model,Shift-Matrix,Overall-persistence index, carries on empirical researches on daily,weekly and yearly basis,and comes to the following conclusions:(1)Chinese open-end fund performance is higher than benchmark market portfolio. It's indicated that open-end fund managers have professional and effective fund management capacity.(2)Three classical risk-adjusted income indicators maintain interior consistency to some extent,and it's a better indicator with more representativeness compared with Sharp Measure.(3)Fund managers have insignificant timing capacity.However,they have some selection capacity.The significance of the selection capacity is different at different periods of time,and it's more significant in a bull market.(4)In general,Chinese funds' performance isn't persistent.And it can be attributed to high-frequency turnover of fund managers.Lastly,the article puts forward some suggestions on the development of open-end funds in China on the basis of the empirical research results.