ABSTRACT
Recent year, domestic equity mutual fund industry has reached a more scaled and
market impacted stage. Equity mutual fund had already grown to an equal cornerstone
in domestic capital market, compared with business security and social security and
other institutional investors. Under stock market with distinctive bull-bear feature,
equity fund also displayed characteristic inseparable tied up to it. In the long term, the
risk adjusted evaluated method which has already attracted increasing attention from
Fund Companies, concern from supervisors and understanding from investors, will help
to achieve healthy growing of domestic equity mutual fund industry.
Based on recent three years performance of equity mutual fund, this article tries to
evaluate the performance through a series of positive research by the use of the
performance evaluate theory in existence, and at the same time, choose market feature
to split the whole periods. In the research process, according to choose all sample funds
marched with equity mutual fund definition, this article uses several related ratio to rank
the performance of sample funds, absolute ratio to evaluate the whole industry, union
lists to investigate the performance persistence and T-M and H-M model to inspect
securities selectivity and market timing ability. Additional to this, the article adequately
combine real capital market situation, tends to get more complete analysis and more
full-scaled conclusion featured with staged characteristics.
We found that, in recent three years’ domestic equity mutual fund market, there are
staged differences on the performance term between risk adjusted methods and common
non-adjusted methods. We found stock market fluctuations directly determine whether
mutual fund could out perform bench market, no matter it was a bull or bear market;
mutual fund performance outlines it’s persistence, especially in the bear market. We also
found that, no matter in bull or bear market, securities selectivity is the key point for an
out performer samples, compared to market timing ability which is hard to find on
domestic equity mutual funds in last three years. .
The article suggests that investor should consider risk factor in an integrated
manner, which is to say to establish long term comprehensive concept when evaluate
fund performance; we suggest fund manager value the staged feature of fund
performance, guarantee its persistence, and finally enhance market timing ability; we
suggest supervision sector provide more option freedom to fund manager by releasing
limitation of opening a position. We also need diversity mutual fund products to give
investor more choice shaping optional of investment style and method, and at the same
time, we should cherish our time to establish risk adjusted mutual fund performance
evaluation system.
Key Word: Equity mutual fund, Risk adjusted performance, Performance
persistence, Securities selectivity& timing ability.