An Empirical Study On The Performance Evaluation Of Open-end Funds In China

Based on the open-end fund in China,study the risk factors affecting the fund rreturn.On the one hand,it's useful to provide a reference for choosing the right fund,so as to guide and promote the healthy development of the market.On the other hand,Fama-French five-factor model which was proposed in 2015 and has not been empirically tested in Chinese capital market can explain the risk factors of fund return from a different angle.Combined with CAPM model and other expanded models to analyse risk factors,through the comparison of different models,we can make judgments of the mechanism in risk factors more accurately and analyse the strength and weakness of the model,with a certain degree of innovation in practical application.The main content of this paper is the risk factors of Chinese open-end fund return,based on the data of 48 open-end fund from May 1,2010 to April 30,2016 total 307 week.Through calculating the value of market risk factor,market value factor SMB,book value ratio factor HML,momentum factor WML,profit factor RMW and investment factor CMA,with the stationary test,separately use the CAPM model,the Fama-French three-factor model,the Carhart four-factor model and the Fama-French five-factor model to have empirical analysis.The conclusions are as follows:(1)The explanation of the CAPM model in the risk factors of open-end Fund return is weak.In addition to the systemic risks of the market,there are other non-systematic risk factors affecting fund ruturn(2)The explanation of Fama-French three-factor model in the risk factors of Chinese open-end fund return is stronger than the CAPM model.The market value factor and open-end fund return under big market value funds has a negative correlation,also called the mass company effect.Controlling the market value factor,book value ratio factor and investment factor,high profit fund portfolio is more sensitive to HML factor.Controlling market value factor,book value ratio factor and profit factor,high investment fund portfolio is more sensitive to HML factor.(3)The explanation of Carhart four-factor model in the risk factors of open-end fund return is basically same to Fama-French three-factor model.The new momentum factor in the four-factor model is not significant in the regression analysis,showing there is no significant momentum effect in Chinese open-end fund.(4)The explanation of Fama-French five-factor model in the risk factors of open-end fund return is better.High profit fund and profit factor RMW have a positive correlation,which is more sensitive to RMW factor than high profit fund.CMA factor has an significant effect on high investment fund,not on low investment fund.Above the five risk factors before,it seems to be that market value factor,book value ratio factor and investment factor have an more important effect on open-end fund return than market risk factor and profit factor.Compared to Fama-French three-factor model,the overall goodness of fit of Fama-French five-factor model is further enhanced,due to the devotion of the increased profit factor and investment factor to the explanation of fund return.The application of the five-factor model in Chinese open-end fund shows that our fund market is not effective,because the fund price cannot fully reflect the information which investors get.