关键词: 开放式基金,基金持仓,绩效评价,因子模型

Abstract: It is of great theoretical and practical significance to conduct an evaluation of China’s securities investment funds from a multi-dimension perspective. This paper adopts the six-factor model under different market conditions to perform a comprehensive evaluation of the performance of China’s actively managed open-ended stock-type fund and the mixed type fund as well as the trading capacity from the three dimensions, i.e., fund returns, fund holdings and fund transactions. The findings show that China’s actively managed open-ended stock-type funds can yield earnings after risk adjustment, while the elasticity of the mixed-type fund in adjusting stock positions can help fund managers demonstrate their market timing abilities. The research findings from applying the six-factor model to examine the performance of China’s actively managed open-ended fund can provide some useful references to the investors who need risk diversifications.

Key words: open-ended fund; fund holdings; performance evaluation; factor model