The Application Of Coskewness Factor In Evaluating Open-End Funds In China

Since September11,2001, the first open-end funds issued, the open-end funds in china have already existed for a long time. For the past decade, whether the type or the scale of the open-end funds have undergone a thriving development. Practically speaking, the search for a scientific and reasonable evaluation methods of fund is significant for both fund managers and investors in these conditions.In China, the current performance evaluation model of three classic funds in use are all the direct application of mean-variance CAPM model.These methods only consider the volatility risk of fund income, but ignore all the other risk sources, especially those from high order moment. If only according to the mean-variance CAPM model to evaluate the performance of funds,fund managers may take those investment portfolio with high order moment to obtain high order moment risk premium.As a result, compared with their counterparts, they will become flagships in this field.In order to achieve a more scientific and reasonable evaluation of fund performance,this paper adds characteristics of the high order moment fund income distribution to the traditional method of fund performance evaluation and combines coskewness factor to the classical CAPM model and Fama-French three factor model.The research mainly involves three aspects,1:describe the statistical properties of coskewness factor, and examine in China wether it is a postive number which matches with the theoretical description;2:add coskewness factor to CAPM model and Fama-French three factors model respectively and analyse different influences of the factor to the two models;3:examine whether the behavior of fund managers to buy negative (or postive) coskewness portfolio (whether intentionally or accidentally) is continuity.In this paper,through empirical analysis, we can come to the following conclusion:In our country, stock portfolios with the positive coskewness factor not only have more profitable probability, but also have higher average earned ratio; For the stock type funds and mixed type funds, the effects of four models to fund performance evaluation are all remarkable, but for bond fund, the effects are unsatisfactory.It turns out inappropriate to use the four model to evaluate bond funds performance in empirical analysis. And we also found that, the effect of coskewness factor to CAPM model is more remarkable than it to the Fama-French three factors model.Through the further analysis to the stock type funds and mixed type funds shows in the empirical results, the influence properties of to the two types of fund are the same, while the influence of coskewness factors to the stock type fund is a little bit bigger. In the end, this paper analyzes whether the measure taken by fund managers to buy investment portfolio with postive coskewness factors is of the continuity, and the results show that the behaviors of fund managesrs exist a very apparent persistence.