The Empirical Research On Performance Evaluation And Attribution Analysis Of Open-end Fund In China

Since the establishment of KaiYuan and JinTai closed-end securities investment fund on March27,1998,securities investment fund in China had developed rapidly. HuaAn Innovation Fund, the first open-end fund in China, was established On September11,2001. After that day, open-end funds had great into the rapid development stage. After10years of development, open-end fund has replaced closed-end fund as the mainstream in the market. Open-end fund has become the main force of funds industry in our country. It’s flexibility and freedom of investment and professional management, risk of multiple dispersed, won the favor of investors. Securities investment funds are considered to have expert financial advantages, should bring good returns for investors. But how to make the performance of the fund’s investment objective and fair assessment, to help fund investors make the right investment strategy, choose to go to the excellent performance of the fund, which is one to be resolved but has important practical significance.As one important partial of the funds development, performance evaluation of investment funds is a theoretic and practical research topic. With rapid progress of open-end funds in China, the analysis of performance and attributions are very valuable for the investors, the administer companies of fund, and the supervisory department of market.The structure of article is as follows:Chapter1of the paper briefly explains the background of writing, research significance, research focus and frame structures, as well as the main innovation points. Chapter2describes the domestic and international current status of research on fund performance, including research method and fund manager’s timing capability and stock selection ability. Chapter3describes the theoretical basis for fund performance evaluation and the reference to the domestic and international fund performance evaluation methods. such as:capital asset pricing model, fund performance evaluation, performance attribution model, etc., as a theoretical basis for this follow-up study. Chapter4analyses the performance of open-end fund in two ways, the risk-adjusted performance evaluation and the unadjusted risk performance evaluation. Chapter5analysis the factors of performance, including manager’s timing capability and stock selection ability. Chapter6is the analysis of this article to obtain a summary of the results.The main innovation is about the risk-free rate. In this paper, we tried to make a new risk-free rate measuring by the interest rates of seven days repurchase debt among banks.