| The topic about the evaluation of investment fund has been studied for years abroad. Recently, the study in this field is becoming more and more attractive in China. By reviewing the abroad theoretical and empirical studies, this thesis comments the methods of evaluation the investment fund's performance and management ability depend on the increasing rate of funds' net value. Then, after processing an empirical analysis on the selectivity and timing ability applying some methods in common use, the thesis analyzes the features when evaluating investment funds' investment management ability on different conditions under China's reality. This thesis contains three parts:The first part is a Review. In this part, I review and comment some theories, methods and related empirical analysis existed. The focus of this part is the description and analysis of the theories' kernels and the relationship between these theories and methods.The second part is the samples, data and methods in my empirical study. Firstly, 1 analyze the problems exist in the evaluation aimed at the selectivity and timing ability of China's Security Investment Funds briefly. Secondly, I description the samples, data and methods used in my empirical analysis and the reason that I use these samples, data and methods.The third part is the discussion of the results of empirical results. In this part, I analyzed the results of my empirical analysis briefly, then, I try to compare the evaluation results when applying different benchmarks, different methods when evaluating selectivity ability and different periods.These conclusions can be made: A majority of the sample funds have neithersignificant selectivity ability nor significant timing ability from January 14th, 2000 to December 28th, 2001 (as an overall period) when evaluated by TM method and HM method. But when divided the entire period into two almost equal length sub period, the results differed. Especially, in the first period (from January 14th, 2000 to January 5th, 2001), some sample funds showed a significant timing ability; in the second period (from January 12th, 2001 to December 28th, 2001), no sample fund exhibited significant timing ability, quite some sample funds showed a significantnegative p2. No sample funds showed significant selectivity ability in the firstperiod. In the second period, some sample funds shows significant selectivity ability. This means that there is some relationship between the evaluation result of selectivity and timing ability and the evaluation period. In the period when no fund exhibits a significant negative p2, the benchmark constructed by Zhong Xin Indexand Zhong Xin Treasure Bond's Index shows a better model fit degree than other two benchmarks (one is constructed by Shanghai Security Exchange Composite Index, the other is constructed by Zhong Xin Index). There are some difference between the benchmark based on Shanghai Security Exchange Composite Index and other two benchmarks based on Zhong Xin Index when evaluating selectivity and timing ability. The performance of the two benchmarks based on Zhong Xin Index when evaluating selectivity and timing ability are quite alike. This means that there are some difference between the evaluation result of selectivity and timing ability and the benchmark's selection and construction. When evaluating the selectivity ability, the Jensen's method was really be distinctly influenced by timing ability, the results is quite different from the TM and HM method. This means that when there exist the possibility of timing selection in the stock's market, Jensen's method is not so suitable for the evaluation of funds' selectivity ability. The phenomena that no fund exhibited significant timing ability and at the same time lot's of funds exhibitedsignificant negative /?2 was possibly caused by the continuous decreasing of stockmarket's performance. This means that evaluation result of selectivity and timing ability may changed with the stock market's change.Suggestions: No sample fund exhi...
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