The Research Of China Equity Open-end Funds’ Performance

In this paper, we select the Three years of five-star and one-star funds in the Morningstar rating as the research’s object. The Fund’s daily return data is from January5,2009to April15,2011. We used Jensen model, the TM model, the HM model and the improved Fama-French’three factors model to study the fund managers’performance of stock picking ability. Also, we researched the funds’ performance persistence, using the method of regression coefficients and performance dichotomy which were based on the sample Fund’s monthly and quarterly Jensen valueIn this paper the main structure is consisted of the following five components:The first part is the introduction. It includes the proposed research questions, the general structure of the background, the purpose and research meaning, as well as the main work of the paper.In this part, we also organized the relevant research results at home and abroad.The second part is the theory of securities investment funds and fund rating introductory section. It includes the definition and classification of the relevant concepts of the securities investment fund, and the domestic and international rating agencies as well as the introduction of the theoretical methodsThe third part focuses on the theories and methods of open-end fund performance research. It includes the classic indicators of the Fund’s overall returns, risk adjusted returns, the securities selection and market timing evaluation model of fund managers’ability, and the improved Fama-French three factors’ model as well as the method of funds’performance persistence.The fourth part is the empirical research. Through the using of Matlab, Eviews and Excel measurement tolls, we apply the fund’s assessment model to reaching the results of the empirical regression studies and analysis the conclusion of the regression.The fifth part is the summary of the full paper. In this paper, we use the theoretical analysis and empirical research to get the main conclusions and perspectives which are as follows:Firstly, through the Jensen value, we find that the five-star Morningstar rating sample funds almost all made gains beyond the benchmark portfolio in the market and the systemic risk β is less than1; Most of one-star sample funds has not only failed to outperform the market benchmark portfolio but also fallen behind the market benchmarks. Part of the funds’systematic risk β is greater than1. This shows that the Morningstar rating of five-star fund managers diversify the risk and get the market excess return. One-star fund managers’performance is worse.Secondly, through empirical research on the fund manager’s stock selection and market timing ability, we find that most of the five-star funds possess significant security selection ability, but the market timing ability is not significant. This indicates that the five-star fund’performance mainly comes from the fund manager’s outstanding stock picking ability. Most of one-star fund managers have stock picking ability and timing ability. Some fund managers also show a negative stock selection and market timing ability.Thirdly, through analyzing the TM model, HM model and the additional three factors’Fama-French model, we find that the scale factor and the book value of the factor in the return of the three-factor model are significant. The adjustable coefficient is generally higher than the first two and the regression residuals are also smaller. This indicates that additional factors TM-FF3and HM-FF3model are better in studying the effect of open-end funds’performance.Fourthly, through the five-star funds’and one-star fund s’performance, we find that neither the five-star fund nor the one-star fund have significant performance persistence on monthly and quarterly intervals.