Research On The Quantitative Evaluation Model On Fund Performance

Since the fund has developed rapidly, it causes the attention of all parties at the same time. How can investors choose funds they want from numerous funds, whether they can attain persist investment earnings, whether fund managers are equipped with expert style, how do fund managers reasonably evaluate fund performance and so on, these are still our unremitting quest. It is more and more important to make scientific and reasonable performance evaluation to fund.In this paper, according to the specific information of different markets with different impact on the market, we chose specific information to examine the stock selection ability of fund manager. Compared with unconditional Jensen model, the model had more explanatory power. On the basis of using Jensen model, we further investigated the return timing ability and volatility timing ability, then we found that fund managers generally had earnings timing ability and stock selecting ability during June2006and October2008, and there was only a small number of fund managers with earnings timing ability and stock selecting ability during October2008and November2011.This may be due to the following reasons:after the practice of the stock system transformation, the non-tradable share and the financial crisis, the effectiveness of the market is more and more strengthen and transparency and so on. At the same time, under the two cattle bear markets, fund managers showed obviously the volatility timing ability. We also found that stock selection ability showed more influence on the fund performance. Then we used a Block-Bootstrap method to further explore the stock selection that whether it was derived from fund managers’own investment ability or other factors under different style funds and different cattle bear markets. Through the study, we found that the real stock selection ability of fund managers couldn’t persist in terms of style. In a bull market, the fund managers had more stock selection ability which was more susceptible to the influence of luck.