Research On Investment Portfolio And Performance Of China's Fund Based On Mean-Risk Model

Since the first Fund issued in 1998, Fund industry has got a rapid development in China, both the number of fund companies and fund assets under management have made a large-scale growth. How to reasonably evaluate fund performance, optimize the investment portfolio become the urgent need to face.This paper systematically reviews the development of modern portfolio theory, compares the different measurement methods of risk, introduces semi-variance and VaR into the classical Markowitz's mean-variance model. Then demonstration the model on HSSSCZ Fund's top ten heaviest held stocks.Under the same request rate of return, the optimal portfolio allocation less stocks than the original portfolio, and are more effective during the two observation period. Then, using stochastic dominance theory and method of Brinson attribution to evaluate HSSSCZ Fund's investment performance, we found that HSSSCZ Fund is second stochastic dominance than its performance benchmark, the fund manager has excellent stock(bond) selection capacity and volume and price control capacity, but the capacity of major categories of asset allocation needs to be improved.