The Empirical Analysis Of Portfolio Evaluation Based On Five-star Open-end Equity Funds

In more than100years development of the global fund industry, portfolio performance evaluation has always been the concern of the academia and practice. The portfolio feature of professional investment and diversifying risks has attracted more and more investors.This thesis mainly focuses on the open-end equity funds of China. The samples were selected from the5star funds of three big fund rating agencies (Morningstar rating, galaxy securities funds rating, JiAnJinXin fund rating) as of December31,2012. Based on the empirical analysis of the risk-adjusted returns, portfolio managers’market timing ability and stock selection ability, and the persistence of the portfolio performance, the thesis exams the performance of5star funds after one year and ranks the effectiveness of rating of the three major rating agencies.Based on the empirical analysis, the5star open-end equity funds can generate excess return into a certain period into the future and diversify risk in a certain level. Most of the5star fund Managers have the strong ability of stock selection, but lacks in market timing ability.5star funds have significant persistence in the short term.To a certain extent, the rating agencies’fund rating system is effective and purchasing5star funds can bring significant excess return for investors. The rank of the effectiveness of three fund rating agencies is Morningstar China, JiAnJinXin, galaxy fund rating in descending order. According to the empirical results, the Morningstar five star funds are better than the other agencies’5star fund in the field of the risk-adjusted returns, stock selection, market timing and fund performance persistence. While the performance offive-star funds of galaxy fund rating is relatively poor.