China's Securities Investment Fund Performance Evaluation - SUR-based Model

With domestic securities market gradually stepping into maturity and investing funds rapid development, the corresponding researching literatures that evaluating security investment funds performance are getting more and more. But those literatures analyses the funds separately, overlooking the relationship among them. The rating of the funds performance includes both that to the whole industry and to each fund separately. This paper is based on the traditional squares regression model founded by Treynor and Mazuy. After constructing SUR model and making corresponding analysis and test according to the regression results, we can get some excellent results, which can be concluded as follows: The total stock-selecting ability of Chinese funds managers is very weak. As for individual ability, those that issued earlier have better performance than those issued later in this aspect except several funds. But this difference is not distinct. Apropos of the market timing ability, their total performance is very excellent. At the same time, those that issued earlier performed worse than those issued later with some exceptions. What's more, their individual market timing abilities have a sharp difference.