Study On Performance Evaluation Of Security Investment Fund

Following the gradual criterion and perfection of security market in China, Chinese capital market achieves long-term development. Especially after share-division reformation of listed companies, since 2005, Chinese stock market has gradually turned from bear market into bull market. In 2006 the index of Shanghai stock market increases nearly by 2.5 times. During 2006 Chinese open fund has achieved historical development. How to reasonably and scientifically measure Chinese fund performance is meaningful to fund supervisors, medium-sized and small investors and fund management companies. According to this, the author did the following analysis: Chapter One introduces study background and significance and summarizes andcompares domestic and overseas study ideas, methods and empirical results, therefore makes this article's study plan.Chapter Two summarizes security investment fund, from different angles of view classify and compares different funds , outlines its investment character, risk and the present status of Chinese investment fund and gives out the concept of performance evaluation.Chapter Three introduces the methods. It uses three typical risk adjustment indexes, that is Index Sharpe, Index Treynor and Index Jensen, to measure and sort fund revenue. Next, the author introduces risk value VaR technique which is widely used in financial world and applied to RAROC model which measures fund achievement evaluation and makes the further improvement. During this process, the author applies Conditional Heteroskedastic Model to show the fluctuation of each fund revenue. It is a great improvement to VaR technique and also an improvement to traditional fund achievement evaluation methods which take fund fluctuation as a constant. The article adopts T-M model and H-M model to assess the opportunity and stock election ability of fund managers. Fund duration index is very important to fund evaluation. The article uses ideas of Nonparametric Tests, that is achievement dichotomy and traditional parametric tests to study the mid-term and long-term duration of fund achievements. Because there are lots of fund achievement measurement methods and they have strong correlation. At present there is no uniform measurement standard. So the author uses ideas of main components and integrated evaluation methods to constitute integrated evaluation exponential for each index to measure the general fund achievementChapter Four makes empirical study based on the previous theory study and achieves the following conclusion: Chinese fund generally is better than ground combination, the efficiency of Chinese security market is not high enough, most fund administrators have the ability to select stocks, but generally without ability to select opportunity, the systematic risk of Chinese security market is relatively big and fund achievement does not have duration in mid-and-long term.At last the author makes suggestions to fund supervisors, investors and administrators and expectation to the study methods of fund performance and establishment of Chinese fund performance evaluation system.