Empirical Study On Performance Of Listed Open-end Fund In China

As the rapid development of Chinese fund industry, open-end funds have become more important in the securities market. China set the first Listed Open-end Funds as one kind of innovation of trade way in 2004, Providing investor with a new investment way .For investor, it is necessary to know the performance of the funds before choosing from them. A scientific and rational assessment of fund performance can provide useful information not only for fund companies but also for investors and regulatory authorities, which is a critical link of the fund industry norms and healthy development. In this paper, we researched on the theory and empirical seriously for performance evaluation of the Listed Open-ended funds in China, and analyzed thorough the study results.At first, the open-end funds' characteristic and performance evaluation has been analyzed by the basic theories such as modern portfolio, CAPM, APT, EMH and behavior finance. Recurring to the performance evaluation methods and the models which developed based on these basic theories and combining the characteristic of LOF in China, the performance evaluation system for the open-end fund has been designed.And then, we choose 9 sample funds which are listed before January 1, 2006 and built the market benchmark portfolio based on Citi-Standard &Poor's series index. Based on these, empirical studies have been carried out for the open-end funds' performance in paper as fellows. First, funds' net value earning ratio comparatively the benchmark portfolio has been analyzed and found that funds had got the earning ratio exceeding the benchmark portfolio, furthermore distant exceeding nothing risk earning ratio. Second, funds' earning by risk-adjusted has been proved by Treynor index, Sharp index and Jensen index. The result shows that funds embodies out some advantage of expert managing money and has got the exceeding market avails. Third, we test the listed open-end funds' specific arbitrage function. The result shows that the arbitrage is very small. Forth, we test the liquidity of LOF and find that they are not active on the secondary market. Fifth, when proving funds' performance source by T-M model , we find that funds good performance are mainly contributed to the security selectivity, and no adequate proves indicate that the managers are capable of market-time grasping. Also, managers can't have the two abilities of security selection and market timing holding at the same time. At last, funds performance persistence has been proved by Cross-section regression at the unit of month and year. The result shows that LOF performance persistence can only occur in the short term.Lastly, based on summarizing the inspiration of the positive study conclusions, some suggestions on future development of open-ended funds of our country were put forward, this paper presents several policy recommendations.