Study On The Performance Evaluation Of China’s Open-end Securities Investment Funds

With hundreds of years of history, securities investment fund has been the inevitable development trend of stock market. In the past twelve years, the fund development experienced early exploration pilot trial and rapid development, with products ranging from closed-ended fund and open-ended fund. The year of 2010 was an innovative year for fund products and services. With the development of financial technology and regulation system, the fair, comprehensive and scientific fund performance evaluation plays an important role in safeguarding fair market competition, protecting investors’ behalf and stabilizing stock market.Based on the existing theories of fund performance evaluation and combined with authoritative evaluation systems in and abroad,this paper make empirical analysis in order to promote theoretical research and deliver some suggestions on establishing a standardizedand effective fund evaluation system.The paper includes the following parts:First, the paper generally reviews current situation of securities fund development in and abroad, introduces the importance of investment fund performance evaluation, summarizes existing research theories and results and raises the research methods, framework and innovative points.Second, the paper mainly introduces relative concepts and three pillar theories, illustrated as investment portfolio theories, capital market theories and efficient market assumption. The quantitative indexes of fund performance include net return, three risk-adjusted return (Treynor index, Sharp index and Jensen index) and the further performance ratio based on different metering methods such as information ratio, sortion ratio and M square index. The models that inspect fund managers’ abilities of selecting stocks and time includes T-M model and H-M model. The multi-factor performance evaluation models include Fama-French’s three-factor model and Carhart’s four-factor model. Third, the paper compares different fund performance evaluation systems of professional fund rating institutions such as Morningstar and Galaxies and analyzes the advantages and weaknesses respectively.Forth, based on the sample of seventy-five open-ended funds issued before the year of 2006, the paper analyzes the security investment fund performance from 2006 to 2010 and delivers a conclusion. With inefficient stock market and high systematic risk, most of fund managers can gain return above quota. Part of excellent fund managers have presented outstanding abilities to choose stocks and proper time. The rating of professional institutions still demands to be greatly perfected.At last, the paper analyzes research results based the above sample and model, summarizes potential problems of existing security fund performance evaluation systems and raises suggestions to improve.