An Empirical Study On Performance Evaluation Of Open-end Funds

The capital market in China has experienced decades of ups and downs, fund has become one of the most important institutional investors in the capital market in China. Equity open-end funds, both the quantity and scale occupy a large proportion of the Fund. How to scientific evaluate equity open-end fund performance? how are the fund manageers’stock selection and market timing ability? Can fund risk-adjiusted returns surpass market? Which fund have better performance in the market? Answer these question can make good sense to improve the level of management and regulators to formulate industry policy has important significance.Mature evaluation theory system for fund performance have been established in abroad, and a lot of empirical research using different periods and different categories of samples by various methods to evaluate fund performance also have been done in domestic. In reference to the theoretical and empirical research in the past, a comprehensive evaluation of open-end fund in China will be done in this paper, by using several types of the commonly used classical performance evaluation method.it obtained the following research conclusions:1. the fund performance evaluationFirst, using the risk-adjusted performance evaluation index to evaluate106open-end equity fund, the results are show the sample fund average performance there is no more than the market portfolio, but there are still close to40%of the fund performance beyond the market portfolio. Therefore, because of the market although open mode fund in our country is not very desirable, but careful selection of appropriate funds still can gain good return on investment.Secondly, using the TM and HM, CL model to sample regression found that intercept regression result is positive, though less than half of sample funds by T test, but in a certain extent, it still indicating that some fund managers have good stock selection ability, it same with using the risk-adjusted returns indexes in front of the conclusion of a value; But all model regression results can not shown the selection ability of fund manager.Then, three and four factors model regression results show that our country open-end equity funds system risk whole slants small, conservative investment style. The large maximum and the minimum gap of samples from the market portfolio risk coefficient shows different fund investment style still exists between the differentiation. According to the results of the return of the scale factors and value factors, small fund managers started to preference shares and growth stocks, and there is no evidence that managers generally apply momentum strategy in the portfolio2. the performance evaluation model of the evaluationFirst, using four kinds of risk-adjusted performance evaluation index, sharpe index, treynor index, Jensen index and sharpe index based on the VAR) to evaluate the same sample, the overall evaluation conclusions are consistent. Especially the highest consistency is sharpe index and treynor index, Jason index regression results are not significant, but it does not affect its reliability to sort the results, it with sharpe index, treynor index evaluation conclusion still has high consistency. Sharp VAR indices sort of funds and other three most conclusions are consistent, but from the perspective of a specific fund, there are some entirely different sort of situation, this reason can be thought of as differences due to yield distribution. So in sharp VAR is introduced as a comprehensive evaluation index, can be a part of funds for inspection to the supplement of three classical index.Second, the investment ability of fund manager evaluation model, the return of the TM and HM effect is not a big difference, it is said that the stock selection ability and market timing ability of fund manager regression coefficient alpha and beta2in a large number of samples of regression result was not significant, while CL model to get the double beta all significantly, in interpretation is much more powerful than TM and HM model.With the three factor model, then the intercept term in the regression results mostly negative and not significant compared to the four factors model which is introduced into the momentum factor, the intercept term ratio was improved significantly, and the regression results come into a positive also. Despite the introduction of the momentum factor does not get good regression result to prove the existence of our country fund momentum effects, but the introduction of improved model explanation, shows that the momentum effect exists in the middle of the part of the funds from another perspective.3. comprehensive rankingFinally, comprehensive full text discussed various factors, using the principal component analysis (pca) to do a dimension category in the model information repeated part, extract the four principal components, they respectively, on behalf of the risk and return, market timing ability, risk level, diverse market factors, and rating of sorting the sample fund’s performance during the January5,2009to December31,2012.In addition, this paper compared with other similar articles’s advantage lies in:First, although did not include all articles on fund performance evaluation theory of introduction the theory and method, but the articles within its own system, and to form a relatively complete evaluation.Secondly, empirical class articles on fund performance, single article mostly is a kind of performance evaluation to select the focus on analysis, although in general all evaluation theory have corresponding empirical research, but different authors in different study theory method, selection of samples is often different, either a different sample period, either the sample funds, or is the sample size is different, so that even if all the performance evaluation theory of empirical research has been covered, but which lack of comparability. So it is difficult to effective compared to different evaluation indexes and the applicability of the method and effect.Again, this article in inspects the risk-adjusted fund to select samples to evaluate fund performance evaluation indexes, using the most commonly used the spearman correlation coefficient method.At the same time, use another more intuitive method, sorting rank difference method. The conclusions of the paper research results show that the two methods are consistent, but using sorting rank difference method is helpful to further difference of different indicators for targeted analysis.Finally, the article samples using daily data, compared with other similar articles using weekly data, sample size is huge, in the concrete use econometric model, can the better fitting and more effective results.Lies in the deficiency of the article:First, the article mainly embarks from the existing evaluation theory, lack of innovation of evaluation theory.Second, the article rating theory while sui generis, but still just a child module of fund performance evaluation theory, there are some problems in the existing performance evaluation, the evaluation conclusions of this paper is also exist the same problems.Third, one of the research purpose of this paper is made on the effects of different evaluation indexes and model comparison, it need to use a variety of data for comparison, such as data of different period with the same rating index and model, to examine the applicability of the indicators under different market conditions; Data of different frequency with the same rating index and model, to examine the model’s assumptions is reasonable and satisfied or not, and so on, due to space and part of data is difficult to obtain, this article is not to make further study of this part.