Research on the Performance of Non-bonds Open-ended Funds in China

Abstract: As one sort of fund operation method, open-ended funds(OEF) not only possess flexible asset allocation to satisfy the demand of investor, but also could exclude the value depletion(or premium price) of fund, which is caused by‘relationship of Demand and Supply’. Based on these feature we discussed above, the open-ended fund have been developing rapidly in last 8 years, and going through a studying, testing, steadying, innovating way. On the one hand, in all sorts of open-ended funds, non-bond funds (especially the stock funds) are most popular style accepted by investor. As quantity growing and scale expanding continuously, the asset portfolio of non-bond funds have been embodied more species of asset, such as financial option and financial futures. The fund returns and risks may be enlarged simultaneously. One the other hand, the run style of the OEF have been becoming plentiful, such as the creation of Listed Open-ended Funds (LOF), Exchange Traded Funds (ETF) and innovation funds (IF). Such situation we discussed above need our fund manager master a comprehensive skill of asset management. It is well known that the management of OEF is a dynamic process, we need to eliminate bad asset and change it into good asset in our portfolio, so we have to evaluate the performance of the OEF and feedback it again and again. Because of many kind of the OEF and there is no official, authoritative evaluation system of fund performance in our country, the investment decision of fund management and investor seem more difficult.The oversea study history of fund performance has nearly 60 years. Markowits, Sharpe, Treynor, Jensen, etc, have made outstanding contributions in the field of fund performance evaluation. These evaluation methods they create have established foundation of traditional evaluation system. With the rapid development of fund in 1970s to 1990s, good, new evaluation methods emerge in endlessly. Until now, western countries always stand in the forefront of fund performance research, and constantly push the theory and practice of this field. In China, the fund performance study started lately, mainly because the Chinese capital market was not so developed. The release of fund product is later that Western, especially the first open-ended fund was only eight years. But in this short period, China has emerged fruitful research achievement and the research trend main have two aspects. On the one hand, the research method is mainly based on the mature methods of abroad, using the data of China's capital market. On the other hand, the research on OEF is apparently less than closed-end funds(CEF). But the Chinese scholars have made certain innovation and contribution in the existing research and the research method also tend diversification.Unfortunately, so many researches didn't help most fund managers avoid risk with reasonable way. With the 2007 the U.S. subprime crisis causing the effect of dominoes:banks tightened up on their credits and investor s lose theirs confidence. In 2008, global virtual economy suffered a great crises we rarely seen, the value of securities market devaluate dramatically. The securities investment funds choosing securities as the main object of investment couldn't avoid this catastrophe, the benefit of investors suffered serious damage. From our perspective, most of the net assets of open-end funds are falling back to the level of 2 years ago, the value of non-bonds OEF fell sharply without exception. Research methods of fund performance seem helpless for high unpredictable systematic risk.In fact, the researches of fund performance mainly divide into two parts: forecast and feedback. The former mainly focused on the how fund portfolio affect performance of it. For example, what effect does the financial derivatives entering and share changing for the fund performance? How to avoid fund risk? Etc. The latter is more focused on fund performance evaluation, and through the evaluation result analysis to find the mistakes of asset-allocation decisions to make improvements. In the previous study, the feedback is often given more attention, once the crisis breaks out investors have to face huge losses unavoidably. But the main risk evading lie on the asset allocation. Therefore, the two parts of the content of study for the fund performance is also important.The first chapter of this paper is quotation. This paper firstly summarized development status of OEF and the research about the performance evaluation of OEF, and then compare representative domestic and abroad fund performance document with a systematic way. This part of the study concludes deficiency of domestic researches, such as insufficient funds, insufficient data, the object of study isn't refined, etc. Finally the paper introduces the content arrangement. The second part, this paper introduces the performance evaluation method of non-bonds open-ended funds ( NBOEF ) , and compares the advantages and disadvantages of the open-end fund performance evaluation and test methods systematically, including return rate, this is the measure of ancient fund performance evaluation method. Then, the paper summarizes traditional methods of the fund performance evaluation: Sharpe measure, Treynor measure, etc. We also introduce the model of T-M, H-M. They are of great importance both in China and aboard. Finally, we list two new methods of fund performance evaluation: DEA and VAR.In the third part, we firstly introduce the influence of funds innovation for fund performance; the effect of performance mainly includes two aspects. First, the asset allocation of product seems more diversification. Nowadays, product of fund portfolio not contain only stock, bond, cash, but also financial derivatives. The return and risk of portfolios can be controlled by moderate leverage, in order to satisfy the demand of investors. The different leverage, asset allocation changing, the different style of investment would also affect performance. Second, the operation forms of products became abundant. In order to overcome shortcomings of the OEF and CEF, innovative operation forms have appeared. ETF and LOF have richen the investment varieties of fund and satisfied the demand of investors and also influent the fund performance in a certain extent. Then we summarize the opportunities and challenges of development of NBOEF, according to the front of our study. We need a optimistic attitude for the development and innovation of fund industry, but we also need to promote of management skill and rich our variety of fund. Finally, according to the existing problems, we gave some constructive advice, such as establishing a scientific performance evaluation system, strengthening the scale of institution of fund performances evaluation and brand advantages, Strengthening financial innovation, providing more fund to satisfy demand of investors, strengthening the information disclosure and investors education, etc.The fourth part mainly focus on empirical research of the NBOEF performance: First, through the model of OEF performance evaluation and measurement tools, we give an empirical research for the performance of representative NBOEF. Second, we analyze the difference between innovation and ordinary NBOEF. The third and fourth part of this study, we list the research conclusions and gave some innovations; these innovations include the choice of more and more reasonable benchmark samples. Of course, sample changing may influencing result of research is also one of shortcomings in my paper.The fifth part of our paper is summary, including some innovations of my paper, such as the larger sample, a more scientific benchmarks, more specific study object and research of innovation fund. We also point out the shortcomings in my paper, For example, the flaws of sample selection…
Key words: non-bonds open-ended funds(NBOEF); the methods of performance evaluation; fund innovation; the regulation of selling short