The Performance Evaluation Of Stock Open-end Fund In China Based On Time Varying Beta Model

With the rapid development of securities investment fund, to invest funds hasbecoming one of the most important instruments for vast minor investors to managemoney. And the research about the fund performance evaluation has been stimulated.The development of the fund performance evaluation theory, in turn, has played asignificant role in promoting the healthy development of the fund and securityindustry. At present, open-end fund has become the mainstream of the fund market.And the stock open-end fund which takes a high ratio in open-end fund, is sought afterinvestors for its higher yield rate, and has a higher risk because its yield is influenceby fluctuation of stock market obviously. Therefore, this thesis selects it as theresearch object, evaluates its performance based on the consideration of time-varyingbeta.At first, this thesis analyzes by synthesis various kinds of theories and methodsof fund performance evaluation and considers most traditional methods based onCAPM measure static systemic risk which is dynamic in fact, because the portfolio inthe fund is metabolic. Thus, this thesis adopts the CUSUMSQ statistics of recursiveregression to identify the stability of beta coefficient of fund; uses Kalman filteranalysis based on state-space models to discriminate the time variation of beta;structures Time-varying Beta Model (TVBM) to evaluate fund performance, and thechosen models are random walk model and mean-reverting model.In empirical analyses, this thesis selects20stock open-end funds of differentcompanies to evaluate their performances in period of6/1/2005to5/30/2011. Theresults show that, the betas of stock open-end funds in China are unstable andtime-varying, and the variation accord with mean-reverting process mostly. TVBM αof most funds are bigger than zero in the entire period which means theirperformances are better than market, but the performances of funds are very differentif divide the entire period to rise stage, decline stage and medium stage, and theperformances in decline stage are worse than other stages. Use contingency table toanalysis performance persistence of funds, we finds the performance persistence issubsistent but not obvious. TVBM considers the time variation of systemic risk,which is improvement of traditional methods and more fits the actual condition in China and provides new thinking to enhance the effectiveness of fund performanceevaluation.