Do China’s Stock Funds Really Make Professional Investments?

In China, with the development of financial markets, securities investment funds have gradually developed. The vigorous development of securities investment funds not only support China’s economic construction, but also provide a new type of financial investment options for active investors in the financial market. As one of the important institutional investors, the investment behavior of securities investment funds will have significant influence on the stock market; at the same time, as investors are familiar with securities investment funds now, their performances are also very concerned information to the public. Therefore, an empirical research on the performance evaluation of the securities investment funds is very necessary. It reflects the overall level of the development and performance of the fund industry in China, and is very helpful to the investors and the government.This paper first reviews the history of China’s fund market, then briefly describes the theoretical basis of the study, with detailed explanations and comparative analysis of every model. For empirical Study,63equity funds which are established before January1,2006are selected as the empirical research sample; and the sample periods are from January1,2006to December31,2008and January1,2009to December31,2011. On the one hand, horizontal performance evaluation is based on the Treynor Index, Sharpe ratio, Jensen alpha index, the TM model and the CL model; on the other hand, longitudinal performance evaluation is based on the Comparative analysis of the two sample periods. The conclusion is:equity funds in China cannot sustainably outguess the market; equity funds as a whole almost do not have timing ability, some of the equity fund may have weak stock selection ability.Compared with other literature, this paper has the following characteristics:First, the previous literature usually selected one to two years as the sample period, and rarely used a comparative analysis of two sample periods, while this paper selects two sample periods, each sample period lasts for three years, the data used in this paper is also relatively new.Second, this paper provides multiple perspectives on the empirical research and analysis, study is not only based on Treynor Index, Sharpe ratio, Jensen alpha index, but also the TM model and the CL models.Third, previous literature rarely provide comprehensive and in-depth research on the cause analysis, while this paper go further to find the causes of such performance of the equity funds, and find that the "herding" theory and the performance of the equity funds are linked.