Fund Performance Measurement And To Institutional Investor's Enlightenment

Since the stock market recovery from 2006, China's equity fund entered the stage of rapid development. Whether it truly reflects the ability of financial experts to exceed market performance, and whether the performance persistence exists, have become the focus of attention. This paper is divided into four parts, using qualitative measurement and quantitative method to analyze the China's Securities Investment Fund.This paper introduced the concept of securities investment fund and classification, as well as major countries and China's current development situation of the fund. Statistics show that, whether from the fund or fund accounts, the scale of investment fund in the past two years have developed rapidly.The performance evaluation on the fund firstly introduced the part of the performance evaluation with the classical theory and evaluation methods and selected base of comparison. Then, using various models measured the fund return without the risk-adjusted and risk-adjusted performance. Without risk-adjusted receipts in the main check of the fund several weeks of the net growth rate, risk-adjusted performance tested Sharp Ratio and Jensen's Alpha.Through the study found, a risk-adjusted basis, the fund significantly defeated market benchmarks, which reflected the ability of certain financial experts.On the sustainability of the Fund's performance, this paper firstly introduced two main method, contingency table and cross-section regression. Then, the literature review of domestic and foreign scholars displayed the fund performance persistence was not exist. Finally, I used the method of contingency table to detect the persistence of China's fund performance.Through research found that the performance of sustainability of the fund was not significantly, in the short run there had been inversion phenomenon, showing that the past performance of future performance did not contain useful information, and good investment performance of the fund in the past will not necessarily return in the future.As empirical studies showed that the performance persistence of China's fund was not significantly, how to select funds became problem faced by institutional investors. In this paper, based on the introduction of modern portfolio management theory and the analysis of investment style,I emphasized using Fund's investment portfolio to obtain the optimal investment income under given risk. Real diagnosis analysis used excel to solve the problem of calculate the ratio that should be invested in each fund.The results showed that the portfolio investment income was better than the same risk level of the individual funds.