An Empirical Study On The Performance Of Chinese Mutual Funds

Nowadays, with the rapid growth of professional wealth managementservice and great requirement of securities investment institution of ourcountry, securities investment funds are now developing very fast. Which,thus bring more investment channels to mainland investors, and promotethe capital market booming. Up to the end of March,2013, there are morethan one thousand mutual funds in stocks and bonds, with a total netcapital over three trillion Yuan. More and more different quantities andtypes of funds deepen the participation of investors, and make theassessment of fund’s performance more important.The thesis implies various measures to assess the risk adjusted returns,including several ratios, CAPM Model, Fama-French Three-factor Model,and T-M model. The empirical studies on the previous common stockfunds and index funds are set to investigate the fund’s stock picking andmarket timing abilities. Further study is on the performance persistence of common stock funds with αself-regression and χ2statistics testing.Study shows that during2009and2012, most common stocks funds’performances are better than index funds’, nearly a half positive fundsbeat the market. Funds do not have stock picking ability statistically,while in some distance, funds can choose the right market timing. Studyalso shows that during the investigating period, the common stock fundsperformances are persistent if lasting for a quarter, but lose thepersistence if lasting for one year, and gain persistence again if lasting forfour years long time.