Measurement Models And Empirical Studies On Chinese Security Investment Fund Performance

With its scale being enlarged, the stock investment fund strengthens continuously in the position in the national economy. The weight of stock investment fund in the Chinese stock market value is from 1.81% of 1998 to 10% of 2003 .while its weight in Chinese GDP from 0.13% of 1998 to 0.85% of 2001. The stock investment fund performance evaluation, therefore, become the focus of eyes of the government, the theorists and professionals.Chinese stock investment fund performance evaluation contains huge benefit. In fact, the difference of performance between the index investor and market timer is very large. An empirical study on the Zhongxin bond index investor , the Zhongxin stock index investor and the market timer from June 1, 2000 to February 28,2003 reveals that ,the accumulative return of the market timer with monthly selection ability was 4.97 times of the accumulative return of the Zhongxin bond index investor ,and the accumulative return of the market timer with weekly selection ability attained 9.18 times of the accumulative return of the Zhongxin bond index investor.This dissertation aims at (1) tiding up and setting up the theoretical models of stock investment fund performance evaluation systematically.(2) Evaluating Chinese stock investment funds performance completely, objectively and fairly , then getting a summary conclusion.(3) Studying empirically the misapplication of the theoretical models in the procession of our stock investment funds performance measurement , in order to give caution to apply the models .This text research method based on the new classic economics and the theories of econometrics. Using Bayes analysis method as the main line, it deduces the fund performance from the fund's return. Regarding stochastic analysis as the key tool, it establishes the theoretical models under axiom, then provide guarantees to fund performance measurement. Referring to empirical study as a base ,it measures the size of fund performance error due to misspecification of theoretical models. With* the levels of structure analysis for the needle, it evaluates our country invests fund performance completely, systematically and thoroughly.Based on the sample's two levels(one is the whole , the other is the individuals), two contents( absolute performance with relative performance), two time sections( the monthly returns with the weekly returns), three benchmarks( Zhongxin complex index, Zhongxin component indexand the average-weighted index), three models( Jensen index , TM model and HM model), this dissertation evaluated Chinese stock investment fund performance and its performance in subdividing target markets, have obtained conclusions of performance. According to utility theory and using stochastic analysis, this dissertation has deduced Jensen Model, TM Model and HM Model under axiomatic system.This dissertation discovered:(1) Chinese stock investment funds as a whole surpasses the market ( annual rate) by 5.28 percentage points in performance. 71.97% of performance indexes support that Chinese stock investment funds as a whole have stock selection ability which can create annual rate of return by 1.69 percentage points, Only 36.74% of performance indexes show that Chinese stock investment funds as a whole has market timing ability; but two kinds of ability are unobvious statistically.(2)There are 82.76% of performance indexes expressing Chinese stock investment funds as a whole have stock selection ability in subdividing markets which can offer annual rate of return by 6.64 percentage points, and only 36.54% of performance indexes expressing Chinese stock investment funds as a whole have stock market timing ability in subdividing markets; But both of them are not obvious statistically.(3)Making use of the individual benchmarks, we found 81.82% of performance indexes support that Chinese stock investment funds have stock selection ability which can create annual rate of return by 3.45 percentage points, 45% of performance indexes show that Chinese stock investment funds have market timi...