| The security investment fund took its first step in the market—oriented transformation period of security market, with a short history of six years of standardization development Because the existing features in fund industry at its primary stage is different from those in foreign fund industries at their mature stage, how to provide the investors the comprehensive information about fund operation, how to assess the fund performance and build a fund rating system consistent with the situation of a country accordingly have been a critical concern with significance and urgency to determine the normally and steady development of our fund industry.Based on the aggregation of theoretical study and empirical study, the synthesis of qualitative analysis and quantitative analysis, as well as the present situation in China's fund market, this paper attempt to build up a comparatively comprehensive and systematic fund rating system in accordance with the fund industry in China and bring forward some practical and operable suggestions to this question.This paper includes seven chapters as follows:Chapter 1: A brief introduction of some basic problems concerning the conception and the character of security investment fund and how it form and develop in China. The significance and feasibility of building fund rating system at present is discussed in this chapter, followed by brief explanation of some methods, framework and innovation in this paper.Chapter 2: Review on present fund rating system. This chapter comparatively analyzes and summarize the weakness and strengths of some influential and authoritative rating systems including Morningstar, Micropal,Zhongxin before it puts forward the assumption of how to build and improve the fund rating system to the present situation of fund industry in China.Chapter 3: Theoretical analysis on security investment fund rating. This chapter studies the existing theories and methods about fund performance respectively and emphasizes on their theoretical foundation, characteristics, application and feasibility in China's security market. Researching orientation of fun performance rating theory is also introduced in this chapter.Chapter 4: Method research of investment fund evaluation. The method of qualitative analysis and quantitative analysis is adopted encircling the investment fund evaluation to study the composing of fund performance in detail. This chapter elaborates the nine respects including the basic fund condition, return, risk, risk adjustment performance, investment managing ability, portfolio, running efficiency, performance persistence and market performance. It modifies and chooses rating indices in western investment combination theory and sets up various models basic idea of indices and computing method. It recommends to measuring the credit standing of a fund by the facts whether it has, times of the severe accidents getting out of line, and the proportion of money obtained from violating rules to total fund net assets. The experience and theories on risk management from abroad is used for reference and VaR is chosen as the way to measure fund market risk according to the market risk components that the funds in China might encounter. Taking the matching, parallelism and variability of risks and profits into consideration, we believe that, which is able to order the performances of single as well as multi-portfolio, can estimate the risk adjustment performance and improve the reliability of find performance rating. In following part, the is adopted to measure the liquidity of fund assets, then the timing ability indices, and are used to judge the managing ability of fund investment, and the Markov test and Cross-product Ratio test are used respectively to examine the short term and long term persistence of fund performance. Chapter 5: Discussion on several special issues concerning the investment fund evaluation in China. This chapter points out some severe theoretical weakness in present benchmark index and refers to fund performance indices...
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