Research On Performance Evaluation Index System And Method Of Chinese Investment Fund

Performance evaluation of funds is not only a method to evaluate the value of investment management but also a feedback mechanism to improve the investment management. It is an important link of the development of fund industry. Since, our current fund market is in its primary phase, the research and practice of fund valuation are in the bud and there have no evaluation system of our own. So the fund evaluation system of China becomes a pressing problem that should be settled. The paper sets up the evaluation system according to the specialty of china security market and uses the real data of Chinese investment funds to carry on empirical analysis.The paper analyzes the problem of fund evaluation from aspects of theory, method and application. First, the paper analyzes the actuality of our fund market, pointing out the importance of performance evaluation. Secondly, using the mature evaluation indexes and methods of other countries for reference and combining the characteristic of china security market, the paper discusses how to measure investment rate of return and risk correctly and how to select indexes rationally, shows the meanings and calculating method of all the indexes. Then, the paper puts forward the fund performance evaluation system of China and adopts the DEA method as a comprehensive evaluation method. Thirdly, according to the evaluation system, we analyze the performance of some close-end investment funds in 2002, calculate all the indexes and sort the relative performance of all funds on the basis of comprehensive index. The results show that, if the risk is taken into consideration, most funds didn't gain extra-return rate above the market and investment managers didn't have the market timing and security selection ability. In addition, most funds' DEA are inefficient. The management of investment funds must be improved. Finally, we discuss and give some proposals about how to use the evaluation results, establishing the impelling and restraining mechanism of investment managers, and the development mode of china funds.