The Evaluation Of China’s Open-end Stock Fund Performance:An Empirical Research Of Improved Carhart Four-factor Model

In recent years, with the virtue of "professional financial management, risk diversification and investment focus," mutual fund wins the favor of ordinary investors lacking of professional investment experience. In this context, China’s fund industry develops rapidly, fund managers have been expanding, the investment products constantly enrich, the regulatory system constantly improves, and the rate of return also increases significantly. But professional fund managers by virtue of which the ability to obtain excess returns, how to evaluate fund performance? It is theoretically and practically significant for both investors, regulators and researchers.Based on the traditional Carhart four-factor model, this paper takes into consideration the important indicator the fund self-benchmark, reconstructs the model explanatory variables and explanatory variables, then obtains improved Carhart four-factor model, effectively improved the model interpretation of China’s securities market, while by eliminating the impact on fund performance, can more accurately assess fund performance.In the process of empirical analysis, the paper selected 34 open-end equity funds with complete transactions established prior to July 2006 as the research sample. Based on the methods of empirical analysis from both macro and micro dimensions, considering the fund self-benchmark into the study system, the paper evaluated deeply the performance of open-end equity fund. Through the empirical analysis, the paper found that improved Carhart four-factor model can improve the interpretation of the intensity of China’s securities market, also can more accurately assess the performance of the fund.