An Empirical Study Of The Relationship Between The Efficiency Of China’s Open-end Fund Performance And Fund Style

This paper defined the efficiency of open-end fund performance based on a comprehensive evaluation of the performance of the Fund, with the use of stochastic frontier analysis, and measured the performance of China’s open-end fund efficiency under different market conditions. At the same time, taking into account the limitations of only using of income indicators for the fund-style division, use cluster analysis to finish fund-style categories after the use of Monte Carlo simulation risk indicators. Finally, this paper discussed the relationship between China’s open-end fund performance and fund-style under different market conditions by regression analysis.This article is divided into six chapters:The first part proposed purpose of this study, significance and research ideas, in order to establish a rough framework for follow-up study.The second part is the concept of open-end funds, characteristics, classification and history of the development of the summary, and describes the analysis of the current status of the development of open-end funds.The third part is theoretical analysis, focused on exploring the relationship between fund performance and style of the role of the efficiency of the mechanism and put forward five to be verified later in the assumption:assumption 1:the efficiency of the bull market fund performance is significantly higher than the bear market the Fund’s performance efficiency; assumption 2:name style can not be a good explanation of open-end fund performance efficiency; assumption 3:the relationship between different name styles and open-end fund performance efficiency will have no difference; assumption 4:the actual style of the efficiency of the Fund’s performance has strong explanatory power; assumption 5:under bear market conditions, the difference of the relationship between different actual styles and performance efficiency is significant.The fourth part is model building, first of all using Sharpe index, Jensen index. stock picking ability, timing ability of the five indicators to establish factor analysis model, make a comprehensive evaluation of performance; and then define the input and output variables, use the panel stochastic frontier analysis, construct the efficiency of fund performance evaluation model of different market conditions. At the same time, the fund style index returns of the CITIC yield regression model, the fund yields VaR of the CITIC style index VaR regression model are constructed to determine certain conditions, and establish a two-step clustering method based on the Fund’s actual style of classification model. In the end, this part discussed the relationship between China’s open-end fund performance and fund-style under different market conditions by regression analysis.The fifth part finished empirical analysis, and carried out description of statistical analysis to empirical results of econometric tests under the fourth part.The sixth part combined five assumptions and empirical results, explore the relationship between the Fund’s performance efficiency and style, all the assumptions were verified.Finally, according to earlier research, this paper summarized the results of this research and analysis of innovation and lack of this article. The major conclusions are as follows:1, the bull market fund performance efficiency will be significantly higher than the bear market fund performance efficiency, SFA can effectively measure the Fund’s performance efficiency.2, name style can not be a good explanation of open-end fund performance efficiency.3, both the bull market conditions, or a bear market conditions, the name of style can not be well explained by the efficiency of open-end fund performance, and the relationship between different name styles and open-end fund performance efficiency will have no difference.4, the bull market conditions, the different styles and performance efficiency of the actual relationship does not exist significant differences, but in a bear market conditions, the differences between the different styles and performance efficiency of the actual relationship are significant.5, both the bull market conditions, or a bear market conditions, the actual investment style of the interpretation of the efficiency of the Fund’s investments are stronger than the intensity on behalf of style.Throughout the full text of this article there are three features of follows:1, This paper proposed the Fund’s performance efficiency based on inputs, outputs. Past research measure the performance of the Fund’s performance rather than efficiency with the use of DEA or SFA methods, or proposed operational efficiency, but there are many imperfections, such as the use of the method requires some stringent assumptions, or using a single measure of the efficiency of performance indicators as output variables.This article uses integrated performance indicators as a measure of the efficiency of output variables, using panels SFA measure the performance efficiency of open-end funds in China under different market conditions.2, There are mainly two ways to divide the fund style, one is based on a portfolio style analysis, directly through the Fund’s investment portfolio held by a description of characteristics of statistical analysis, to be classified; another one is based on the returns the style analysis of the historical returns of the fund can be observed with some of the factors multiple regression analysis, using regression coefficients to measure the fund styles. Only from the income characteristics of the fund-style division has great limitations, and the use of regression coefficients to measure the rules of the fund styles are mostly artificial creation.This paper measured the day VaR by Monte Carlo simulation, using the earnings, the risk, and the two coefficients of regression model cluster analysis for the fund-style division, both to overcome the characteristics only from the income limitations of the fund-style division, which also avoids bringing subjectivity to the artificial classification rules.3, for the relationships between the performance efficiency of fund and fund-style, there is still rare results. In this paper, under different market conditions, some useful discussion has been made among the name of style, real style and efficiency of China’s open-end fund performance.