Evaluation And Empirical Analysis On The Performance Of Our Country's Open-end Funds Under Different Benchmark

Funds'performance evaluation theories abroad had gradual formation a system along with the development of funds industry. Especially last century 50's, Markowitz'property combination theories had pushed funds'performance evaluation theories'development. This paper will introduce some general index of funds'performance evaluation in the world, then selecte the appropriate index to carry on a performance evaluation for our country open-end funds.At present, the Fund's biggest problem in funds'performance evaluation is the selection of the benchmark. Evaluation index that often used by us is very sensitive to the selection of the benchmark portfolio. The different conclusions that based on different benchmark may be inconsistent. At present, The index which reflect the situation of the two cities'stock market are Shanghai Composite Index, Shenzhen Composite Index and the two components of the index, there is not a authority index. Scholars'empirical research base on different benchmark, so that the performance evaluation conclusions are conflict. This situation not only exist in theoretical, different fund management companies had their own benchmark. So what's kind of impact in fund's performance evaluation under different benchmark portfolio? In this paper, this problem will be to conduct a preliminary exploration.In this paper, i selected 20 of open-end funds'data from June 30, 2006 to January 23, 2009, adopted three kinds of benchmark which are often used by Chinese scholars'empirical studies. I find that samples of the Fund's performance is not significantly higher than the three types of market benchmarks, the market based on the shape the performance of different risk levels, different indicators of the correlation coefficient results of the evaluation, risk-adjusted returns have a significant impact indicators. In this paper, the empirical results show that take composite index as a benchmark for evaluating funds'performance is more accurately. Based on the results of empirical research, this paper puts forwards some suggestions for the development of China's open-end fund performance evaluation. This paper figure out that in our country, our stock market at an early stage, it need to promote market's legal system, avoid the risk through some risk tools to improve Fund's investment environment in our country; it also need to establish a professional and independent rating agencies, introduce a unified index and index. Through these measures, we can gradually establish a set of standardized funds'performance evaluation system that is very suit for our country.