The Theoretical And Empirical Research Of The Performance Of Appraisal About Security Investment Fund

Both yield and risk is considered in the invest function. Because of one-sidedly persuing the net value of fund,the traditional methods in the criterion of net value of fund can't reflect the real performance of security investment fund,and ignoring the risks that exist at the back of yield,which results in the moral risk of fund manager through excessively persuing the net value of fund.The three classical assessment model ,treynor measure, Sharpe measure and Jensenαmeasure base on the CAPM model have solved this problem very well.It give a objective appraisal by combineing yield with risks.But many people suspected that whether the CAPM model has its own practicability,bacause it base on the modern portfolio theory,which assume that the yield of portfolio follow normal distribution.This thesis analyses and compares the traditional method in the criterion of net value of fund and three classical assessment model treynor measure, Sharpe measure and Jensenαmeasure .Meanwhile,it systematically expatiate the advantages and disadvantages of these means and models in the performance appraisal of security investment fund.Because of the inherent shortcoming of traditional methods in the criterion of net value of fund,and three classical assessment model encounter too many imculpations in the real market .This thesis try to appraise the performance of security investment fund in terms of risk through introducing VaR(value at risk)-a risk management tool.It is absolutely different from means of appraisal in terms of return .This thesis also put forward some necessities to appraise the the performance of security investment fund after theoretically analysing the means of caculating of VaR.At last, through empirical analysing to the sample funds from real market .the author tests the advantages and disadvantages of all different appraisal means and put forward own viewpoint.