Long-term Performance Of Stock Funds

In recent years, the securities investment fund industry has been developing rapidlyalong with China’s economy. The scale of the fund has been becoming larger and thevarities richer. To research the performance of fund, an ideal means of medium and longterm investment, is good not only for the correct recognition of relationship betweenreturns and risks, but also for the supervision of regulators to the fund managers,thereby to promote the healthy development and regulated management of fund industry,which plays very important practical and theoretical significances in the development ofChina’s fund industry.First of all, this thesis summarized the related theories and literatures of fundperformance evaluation, then introduced the history and current situation of securitiesinvestment fund development. By using the monthly yield rates of China’s stock fundsfrom2002to2013and various performance evaluation indexes such as Toreno index,Sharpe Ratio, information ratio and so on, the medium and long term (1-year term,3-year term and5-year term) investment performance of stock fund were evaluated.Furthermore, the stock-picking and timing abilities of fund managers were evaluatedand ranked by using Jensen index, T-M model, H-M model, C-L model and so on.Meanwhile, the medium and long term performances were compared between open-endand closed-end stock funds.Conclusions:1/Most stock funds in China showes the advantage in a long periodcompared with the market benchmark, which proves that the funds managers havecertain professional financial management capabilities. The permance of嘉实研究精选（070013）and广发核心精选（270008）dominate the top of the list in the sampleperiod.2/The medium and long term performance of closed-end stock funds aregenerally better than the open-end stock funds. The performance of基金泰�'�（500002）,基金安顺（500009）and基金汉盛（500005）dominate the top of the list in the sampleperiod.3/Most fund managers in China have certain security selection ability with nosufficient evidences to prove market timing ability. The ability of fund managers inChina to create the values for the investors should be enhanced.