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The Evaluation Of Securities Investment Funds Performance

Posted on:2004-11-06Degree:MasterType:Thesis
Country:ChinaCandidate:Y Q YangFull Text:PDF
GTID:2156360092480985Subject:Industrial Economics
Abstract/Summary:PDF Full Text Request
The thesis uses the approach of empirical test, combines the reality of our country, assesses relatively deepens systematic research to the performance of security investment funds. In the modern investment theory, only the approach with risk and returns can significantly evaluate performance of securities investment funds. Thus, the core of evaluation is to measure and calculate risks and returns accurately , which can describe the real returns of the securities investment funds completely and validly.First, the text introduces the concept of the security investment funds, the factor of influencing returns and risks of investment funds. Explain the operation characteristic of the security investment funds of our country from the policy and regulation especially. Secondly, It analyses the external condition of security investment funds. Including the validity and risk dispersed degree on the market. Then analyses the performance of the funds from two respects of static and dynamic. And decompose the performance of portfolio investment with static behavior. Get every part of performances of portfolio investment. Because every part of weight and earning ratio of portfolio investment are constantly changeable, portfolio needs to observe the performance of the funds with the dynamic view. Looking with dynamic, the performance of the funds can be divided into four parts: (1) Ability of market timing ; (2) Ability of choosing securities; (3)Risk level on the market; (4)Luck. When the collected historical data are longer, the luck factor of the funds can be rejected. As to the other factors, thesis carries on empirical tests. Using Jensen model, H-M model, T-M model to come back, get corresponding T test and P value. Looking from each test of the resulting, the funds manager of our country lacks ability of market timing and choosing securities, and the risk factor is remarkable in the performance of the funds. Finally studying the method of evaluation of securities investment funds performance in thesis. Because funds manager of our country lacks ability of market timing and choosing securities, and the risks factor contributes to the performance of the funds outstandingly, performance in funds needs to adjust the returns. After recommending the traditional risk measure method CT> P, prove especially the risk measures VaR which develops recently. Including the concept of VaR and various kinds of VaR measure. Using the risk adjusts of returns model: Sharp, Treynor, AR, RAROC model, evaluate performance of the funds. It analyses the development of the security investment funds of our country and existed questions through comparing the datum index of the market. And put forward the corresponding policy suggestion.
Keywords/Search Tags:Security investment funds, Evaluation of performance, Performance, factor, Returns, Risks
PDF Full Text Request
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