Research On The Performance Evaluation And Investment Strategy Of Open Stock Fund In China

With the rapid development of China’s securities investment funds, and after thedevelopment of more than a decade, equity open-end funds have been expandedrapidly, but at the same time experienced a complete change in the stock market cycle.Now the open-end fund market has become the mainstream in the fund market, ofwhich equity funds accounts for most. Among all types of fund products, the activepartial stock fund performed best, acquired very profitable benefit for investors in2013. Compared with the Shanghai and Shenzhen index dropping by7.96%,340equity funds’ average return rate is up to17.14%. Therefore, this article is foundedmore than eight years of open-end funds in our country as the research object, andevaluates the sample funds considering the fund investment strategy’s variability anddynamic characteristics.Firstly, this paper reviews the theoretical approaches of various types of fundperformance evaluation, and thinks that the traditional performance evaluationmethod which bases on three-factor model of Fama only considers the staticinvestment strategy, but in the actual process, β coefficients and scale factorcoefficients fund, the value of the coefficient factor changes in part from their owninstability, another important factor in part from fund managers adjust their portfoliossubjective, so the coefficient of performance evaluation of the fund ’s three-factormodel should be dynamic. Therefore, on this basis the stability of paper-basedrecursive regression CUSUMSQ with statistics and other methods tested investmentstrategy coefficient, this paper uses the state-space model to describe the investmentstrategy’ dynamic characteristics, builds a dynamic evaluation model to evaluate thesample funds, and depicts the time_varying curve to compare different funds.In the empirical analysis, the paper selects28open-end equity fundsperformance evaluation which is founded more than eight years,it turns out that ourinvestment strategy coefficient corresponding open-ended equity fund ownsinstability and time variability.The dynamic performance Evaluation Modelevaluation results indicates that during the entire sample period, China’s open-endedequity fund overall performs poorer, but there are still a few getting good performanceresults, so China’s stock markets are a weak efficient market.Between the good andthe bad, the indicators are corresponding particularly better or worse, which have astrong consistency. And there is a certain " economics of scale "in funds that modest fund size will bring positive fund performance impact.After compared the corresponding coefficient estimates sequence of differentfund investment strategies, find that β coefficient curve is mainly affected by markettrends, so with a similar variation between performance and timing ability of the fund,β coefficient curve have a similar nature. Under the management of the samecompany, although investment managers are different, their investment styles havesome similarities, so the result of fund performance rankings has consistency. Overall,the dynamic evaluation model considers the time_varying of the fund investmentstrategy, which improved the traditional model, so that the evaluation results are moreobjective and effective, at the same time it can also draw some estimation sequenceunobserved state variables, in order to supply new ideas to multi-faceted performanceresearch fund.