Performance Evaluation Of Open-Ended Security Investment Fund In China

In September 2001, Hua'an innovation security investment fund was issued, which is the first open-ended security investment fund in China. Southern steadiness security investment fund and Hua xia growth security investment fund were issued consecutively in the same year. The unique system advantage of open-ended fund has solved the problem of morality risk caused by agent relation according to the contract, and open-ended fund focus on analysis of industry fundamentals, value investment conception and risk control, which also sets a good example for the investors in the market. With the increasingly rapid development of open-ended security investment fund in China, various open-ended funds have met investor's different needs at the same time. In the meantime, how to establish and improve performance evaluation system and evaluate the investment performance of open-ended fund objectively and comprehensively, have been an issue which fund investors, fund managers and regulatory authorities are very concerned about.This paper has reviewed the modern portfolio theory and introduced popular indexes and models which are applied to the performance evaluation of open-ended fund at present. The author has chosen 40 equity open-ended security investment funds which were established before December 30, 2005 and made an empirical analysis of the overall performance of open-ended fund in China, fund manager's selectivity and time ability and performance persistence by Treynor index, Sharpe index, Jensenαindex, information ratio, the M 2measure, T-M model, H-M model, Fama performance attributive model and performance dichotomy from December 30, 2005 to July 4, 2008. The evaluation time interval of this paper has covered the ascending period and descending period during bull market and bear market in the stock market in China , so the comprehensive performance of open-ended fund in China can be evaluated and researched objectively and authentically.We can draws the conclusion through the empirical analysis: the investment performance of open-ended fund in China, including the no risk-adjusted and risk-adjusted performance, is generally better than that of market portfolio, which reflects the open-ended fund managers'professional financing and rational investment behavior; most open-ended fund managers in China adopt the defensive-oriented strategy, and the fund managers'overall investment tendency is steady and conservative; there is no enough evidence to indicate that open-ended fund managers in China have selectivity and time ability; there is no persistence existing in the performance of open-ended fund.