The Study Of Theory Bascs And Methods Of Security Funds Performance Evaluation

With the continuously establishment of new funds and the development of fundsindustry in our country, properly inspecting, analyzing and evaluating funds performance isbecoming more and more important. This paper examines and studies the theoretical basesand methods in evaluating funds performance, and proceeds positivism analysis of theactuality of funds industry in our country.This paper analyzes the theoretical bases of funds evaluation, starting with the connectionbetween capital markets theory and performance evaluation. It points out that the non-strongform of EMH in practical markets makes it necessary to evaluate funds performance, and theEMH theory provides selection principles in constructing benchmark portfolio. Through theanalyzing of portfolio theory, the article shows that this theory offers the theoretical gist toevaluate funds mangers' investment diversify capability, and the propose of expectationutility principle in portfolio theory makes returns and risks the key factors in performanceevaluation. Finally, it indicates that CAPM furnish the technique in measuring risks andbenchmark portfolio's returns.This thesis discusses the mensuration of risks and returns, brings forward the evaluationinstrument of consistency of investment goals, introduces varietal composite performanceevaluation methods to evaluate funds managers' compositive investment skills, and developsthe RAP means according to our security markets' reality. It demonstrates the connectionbetween an information ratio and a sharp ratio, designates the applying conditions andchoosing tenets of differential composite performance evaluation methods. More over, thearticle sets forth the investment performance attribution analysis methods to separate fundsmanagers' different investment skills. Through the study of market timing skills, it showsthat the pattern of returns from successful market timing have an isomorphic correspondenceto the pattern of returns from following certain option strategies, and drive an economicvalue of market timing ability expressed by an equilibrium management fee. The paper lastpresents two models to test market timing and security selection skills, and discusses theeconomic meaning of parameters in the model combined with the market timing analysis.This thesis finally carries out positivism study on our funds industry actualityperformance using relative methods, which manifests that funds industry achieve obviousexcess returns as a whole, and this excess returns mainly from the favourable policy onsubscribing for newly issued stocks. After eliminating the policy affection, it detects somepositive but not obvious excess returns compared with market returns, so we conclude thatoperations of funds industry are effective in our country.