Researches On The Performance Of Chinese Open End Equity Funds Based On Fama-French Three-factors Model

According to the 21st Century Business news release,until December 2014,China's stock funds(including common stock,index-enhancing,passive index-type and partial shares mixed four categories),only 208 net fund unit's growth rate is positive against the Shanghai(securities)composite index,that is,nearly 80%of stock funds underperformed the broader market.At the same time,out of 679 bond funds,532 funds yield more than 10%.Once again the ability of equity funds can obtain positive excess return is deeply questioned.Based on the research in China and abroad,using the three-factor model performance in the history of the fund,826 open-end equity funds were evaluated from the perspective of the whole and the individual,in the final,GMM model is based on the use of performance evaluation on the fund clustering,to verify the performance of the Fund to assess whether there is a deviation.In terms of the overall performance of the Fund:The measure of the excess return obtained by the fund and its distribution,we found that the overall investment portfolio and the portfolio of open-market stock funds is relatively close and fund risk-adjusted excess returns obey N(0,1.1)distribution,indicating that on the whole,most of the funds do not get the capacity to get excess returns.Concerning on the Individual performance of the fund,the paper considered the income of fund is divided into two parts,the first part of the technical part,the second part luck,and by random sampling to measure luck,but with the difference between the actual income and luck as the technical component,That ?a = ?s + ?r,where as technical component,ar of luck.It was found that some fund stock picking ability has a presence on the market,excluding the random component,excess return over income funds remained positive.On the basis of evaluating the whole and individual performance of the fund and using GMM model to cluster the excess return of the funds,it shows that China's stock market is not controllable and random factors plays more than technical ability.