Theoretical And Empirical Research On Performance Evaluation Of Listed Open-end Fund(LOF)in China

Currently, with the increasing development of Chinese fund market, the open-end fund has become one of the most important investment tools for investors, so more and more, scholars started to study the performance of Chinese open-end fund. As an innovative open-end fund, listed open-end fund (LOF) combines the advantages of closed-end fund and open-end fund, so LOF’s performance has much more practical value to study. This paper selects LOF as the research object so as to study its overall performance, timing selectivity&securities selectivity and performance attribution comprehensively.This paper selects39LOF between2005and2013. By using univariate and multivariate models we find although the rank of LOF’s performance based on different models is very different, most of the LOFs can beat the market. At the same time, by regressing the Carhart four-factor model, we find that book-to-market factor and momentum factor have deeper effect on LOF’s performance than size factor. To analyze whether the LOF’s managers have ability to select securities, which are mispriced, or to predict the accurate market timing, we use both TM model&HM model and Carhart-TM model&Carhart-HM model.Through regressing, we find most of our LOF managers have some ability to choose securities, but do not have the ability to accurately grasp market timing. And if some LOF’s managers have the ability to predict the trend of the market, the market timing ability is negative correlated with securities selectivity. Finally, we study the source of LOF’s overall performance, by regressing the multivariate factors model, which includes the characteristics of the fund and the fund manager’s own academic characteristics, we conclude that fund performance is positively correlated, with LOF’s expense ratio,the duration of LOF, fund size, LOF’s turnover rate, and that the fund manager has an MBA.This paper firstly uses Carhart four-factor model to study LOF’s performance in China, combining some traditional models, which make the outcome much more comprehensively By analyzing LOF’s performance in all aspects deeply,on one hand, investors can make choice more accurately, on the other hand,fund manager can improve the evaluation system and improve the performance of LOF.