Research On Performance Evaluation Of Open - End Funds Based On Random Filtering Technology In China

Portfolio performance evaluation is one of the core issues of modern financial theory and has always drawn attention of scholars and practitioners in related sector. As the main body of institutional investors in capital market, securities investment funds would naturally be subjected to many studies. Since China’s first canonical listed securities investment fund in March1998, securities investment fund industry has made deep and broad progress in terms of scale of managed assets, product variety, investment research, laws and regulatory system construction and other aspects, and has become an important part of China’s securities market. By contrast, the fund performance evaluation theory and practice in China started late, and there is a lack of some influential evaluation systems in consistent with practical conditions so that studies on this issue are urgent.For securities fund, asset positions are critical in performance evaluation while in practice the position data are only disclosed quarterly. In order to estimate the positions timely, I built a state-space model, with the position set to state variables, application stochastic filtering technique to estimate them. Then the positions estimated are input as a dependent variable based on the improved version of traditional Treynor-Mazuy model to evaluate the timing ability of the fund managers.66open-ended China’s hybrid funds in2005-2012market were chosen for empirical study, I found that in the long run fund managers had shown certain market timing ability as suggested by the performance evaluation model based on stochastic filtering technique, while traditional Treynor-Mazuy model may underestimate the ability. As for stock pitching, either of the models showed no significant ability of fund managers. Several variables estimated in the model may serve as a significant guiding for investors.