The Performance Evaluation Of China's Open-ended Equity Funds

In Recent years,with the development and perfection of China's financial market,the securities investment fund,which is a financial product through the professional management and collective investment to decentralized risk,has developed rapidly and become the primary choice for many investors gradually.Especially since the introduction of the first open-end fund in 2001,the open-end fund has gradually replaced the closed-end fund for its flexible purchase and redemption mechanism,and open-end fund has become the mainstream direction of the fund market development.The quantity and scale have been growing rapidly,and the product type has been continuously enriched.Open-ended equity funds,which is a type of open-end fund product invests the listed company's stock and the position of more than 80%,has attracted a large number of institutions and individual investors to participate in the past years.What's more,open-ended equity funds occupies an important position in chinese fund market.With the increasing number of open-ended equity fund participants,how to evaluate the performance of the fund effectively,have a very important theoretical and practical significance for investors and research scholars.Based on the summary of the literature on the existing factor pricing model,this paper Quoted the Fama-French five-factor model,which id the latest research results of the factor pricing model,and we applied it to the performance evaluation of China's open equity fund.Compared with the original three-factor model,the Fama-French five-factor model added profit factors and investment factors.This paper constructs five factors of China by using the data of China's securities market,we have taken the five factors of market,scale,book value ratio,profitability and investment into account,so as to evaluate the fund performance in a broader perspective.In the process of empirical research,this paper chose the monthly data of 162 open-end equity funds in China from January 2011 to December 2016,we conducted its performance evaluation in different perspective,such as overall,individual,different characteristic factors,bull market and bear market.Through the empirical research,we found that China's open-end equity funds can outperform the market significantly in the sample period,and the number of funds with excess returns greater than zero in the individual samples is the majority.In other words,the open-ended equity fund is a effective way of financial management in our country.What's more,according to the different characteristics of the group regression results,small-scale fund performance is better than large-scale fund,the fund which institutional investors account for a high proportion performs better than the ftund which institutional investors account for a low proportion,high capital utilization fund performance is better than the low utilization fund.Thus indicates that taking the internal characteristics of fund into account can not only evalue the fund performance more completely,but also have more practical guidance.In addition,we found that open-end equity fund performance can not significantly exceed the market in the selection of the bull market,but in the bear market period,we found that the performance of the fund performance can exceed the market portfolio,and the excess return was more significant.Indicating that there is a certain performance differences of China open-ended equity fund in bull market and bear market.