Integrated Performance Evaluation And Empirical Studies On Chinese Securities Investment Fund

As an aggregative method of investment, the securities investment fund has appeared for over one hundred years, which is one of the most important investment instruments. The standard securities investment fund founded seven years ago in our country, but securities investment fund have been developing rapidly since then and have become one of the most important institutional investors in securities market now. The total net value of 161 securities investment funds is 32.464 billion yuan, and the weight of securities investment fund in the Chinese stock market circulation capitalization value is 14.35% at the end of 2004. Evaluating securities investment fund performance completely, objectively and fairly plays an important role in promoting healthy development of fund.This paper firstly analyses and reviews the theory and method of the securities investment fund evaluating performance systematically. On the base of reviewing other fund performance evaluation systems, the paper constructs a fund performance evaluation system taking the risk-adjusted return and appraising the management ability of the fund manager as the core. The system consists of three parts, i.e. the risk-return characteristic of fund, risk-adjusted return and appraising the management ability of the fund manager. The weight of the indexes is confirmed by the factor analysis. The paper provides an empirical analysis of the performance of 15 open-end funds which were founded before 2003 from 2003 to 2005. The results show that, the return of the open-end funds surpass the market benchmark. All the funds have not great difference the risk , but funds have great non-systematic risk. Using the risk-adjusted return to evaluate the funds performance, the open-end funds outguess the market, and there is strong correlation between different rankings by using different indexes. The three factors model enhances the explaining ability for the funds return. Open-end funds prefer to invest the stock of the big companies and high value companies. There is no evidence that indicate the funds have market-timing ability, but have certain security selection ability. The funds have no performance persistence. Under the fund performance evaluation system to rank,...