The Research On The Market Timing Ability Of Chinese Bond Funds

Securities investment funds as an expert financial tool, with the characteristics of collective investment, risk diversification, strong liquidity investors, has become an important investment tool in developed countries. As China’s securities market develop and improve gradually, the scope of investment funds were expending daily, the number of investment funds were more, the style of investment funds were becoming increasingly differentiated.Due to the large range of the choice of the investment funds, it is more difficult for the investors the choose the funds. In particular, the vibrations of the market was substantially recently. The bond funds are more and more popular with investors, so the management ability of fund managers’ becomes the focus from investors. Market Timing ability is the key indicators of the fund managers’ management ability. There were more researches of stock and hybrid fund, and the researches on the bond fund timing ability are few. The researches on the bond fund timing ability play an important role in provide the scientific basis for investment decisions.This paper firstly summarizes the of timing ability research such as Markowitz Theory of expectation-variance, Capital Asset Pricing Theory, Three Factors of Fama and French. It also introduces empirical methods to gauge timing ability of securities investment funds, including T-M Model, H-M Model, B-P Model, C-L Model, Regression Model Based on FF3Model, GII Option Model, Condition Model of Ferson and Schadt and Sharpe’s Style Analysis.After summing up the theories and empirical methods, we fond that empirical research of China scholars’ are based on the classical model generally, only a few researches apply the portfolio analysis, so we put forward to apply the Sharpe style analysis to evaluate the Fund’s investment portfolio with the purpose the measure the fund timing ability. We present an empirical analysis of the timing performance of12Chinese open-end bond funds. This paper, based on the Sharpe’s Return-Based Style Analysis, aims to examine bond fund managers’ ability to shift assets between bonds and cash and their ability to capture the market changes by way of choosing bonds of different maturities. To get more reliable results, we also examine funds’ ability to adjust annul investment portfolio. We also examine the relationship between the performance of the bond timing ability and the market condition. The study discovers that three open-end bond funds, called Nanfang Baoyuan, Xingye Zhuanzhai and Tianzhi Caifu Zengzhang separately, have the timing ability and that the remaining samples do not show signs of timing ability.