| Chinese investment funds have developed for years. It started from scratch and experienced a process from disorder to standardize. The funds which were set before 1998 can’t be called securities investment funds technically. Because they had a lot of problems. For example, most of them invested in real estate and business which made them become direct investment funds. The assets’ quality was poor and the sizes were small. The funds’ development entered a new stage since the first regulation of securities funds issued in 1997. The first normative securities investment fund was set in 1998. Chinese investment funds’ development has gone through three stages since then. First stage of development was close-ended funds. Next stage was open-ended funds. The third stage was the common development of banking ground fund management companies and independent fund management companies.Securities investment funds’ scale has been expanding largely these years. We have already had 704 funds so far as 2010. Most of them are open-ended funds. Equity funds have a large proportion in the open-ended funds. They play an increasingly important role in the stock market. So it’s very important to study their performance and persistence. Therefore, we will use the Jensen index based on the CAPM model and TM model to study the performance of the equity open-ended funds and the overall performance of the fund managers timing ability and selection ability.This paper is organized as follows:The first chapter is the introduction. This chapter describes the development process of Chinese securities investment funds and the meaning of study funds to regulatory authorities, securities investors and fund companies.The next chapter is a literature review about funds’ performance and persistence. It also gives a literature review about the results of domestic researchers’ empirical study. There are different opinions about this problem. Because the researchers’ models and study samples are not the same.The third chapter introduces some basic knowledge of funds’ performance and persistence. The commonly used models are Jensen model, T-M model, H-M model.The fourth chapter describes the empirical basis and the required method of sample selection and data sources. For example, choose the one-year deposit rate as risk-free interest rate according to China’s national conditions. The data are derived from the CSMAR database and WIND database.The fifth chapter is the empirical part. In this chapter we find the equity open-ended funds’ performances are weaker than the performance of benchmark index. They also don’t show significant performance persistence. The two basic methods of persistence test are Parametric and non-parametric method. We also find the performances of passively managed funds are weaker than the actively managed funds. The reasons are the market’s lacking of effectiveness and no sustained bull market environment existed etc.Chapter VI summarizes the full text. We also give some policy recommendations in this chapter. We should establish an objective, efficient and reasonable fund evaluation system and independent fund rating agencies. We should also improve the maturity of the securities market.The innovation of this paper is to:choose a wider range of samples for research; divided the samples with different investment strategies - passively managed funds and actively managed funds. Study the sample year by year like morning star. Analyzed the reasons why the fund had poor performance and persistence. Funds expenses and scale factors can also have important impacts on funds performance. In addition, the follow-up studies and continue researches would focus on academic qualifications and fund management features such as years of fund managers, herding behavior and preference shares. The study sample can also be a larger sample instead of a small sample with survivorship bias. |
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