The Research On Securities Investment Funds Performance Evaluation

With the rapid development of China securities business, securities investment funds have been important institution investor in capital market. Securities investment funds play a crucial role in effecting capital market stabilization, shunting save and enlarging proportion of direct financing. So it is very important for China capital market even the whole financial system that securities investment funds develop healthily and steadily. At the same time, this demand scientific funds performance evaluation methods. So this thesis has researched it.This thesis has summarized all sorts of funds performance valuation methods. It includes three sections: risk-adjusted performance valuation, performance attribution analysis and investment style analysis. We have researched the correlations and applicability among all sorts of methods. At the same time, we have created an index of investment style analysis on risk interest. To validate above-mentioned models, we have chosen 7 risk-adjusted performance models, 4 timing market models and 3 indexes to do empirical analysis with 76 weeks' data of domestic 15 exoteric securities funds. The result indicates that 5 risk-adjusted performance models are fit for domestic securities funds and securities funds have no the ability of timing market. A majority of domestic securities funds' investment style are active. This thesis has provided principle of investment decision-making...