Risk Adjust And Genesis Analysis Of Open-ended Fund Performance

Securities investment fund is an inevitable product in capital market of developed country and have developed for one and more hundred years. Although Chinese funds does not have long history by comparison, but developed rapidly. It has become an important tool for investors. The essence of fund is to invest replace the fund investors. As the market prices fluctuating, as the time when fund set up different, as levels of the fund company's overall management and trading strategies along with fund managers different, the fund's performance therefore will be different too. Then it provides a realistic basis for quantitative analysis of the fund's investment management performance. Fund performance evaluation on the one hand has provide a indispensable reference for all types of investors to choose funds the other hand also provide a reference for the company's management board to evaluate fund companies and fund managers'performance.This article begin with traditional model of evaluation and use semi-variance reconstruction calculation of system risk such asβcoefficient, amend the Sharpe ratio and appraise ratio make use of a new risk measurement CVAR; In addition, this paper also introduce a micro-evaluation model named Up-Down model which based on T-M model . The empirical study used the data on 30 domestic open-ended funds in 2006, and more, not only horizontal compare the revised ratios and the traditional indicators of the overall performance of these funds, but also compare fund's timing ability and selectivity in up and down markets.This paper draws on domestic and foreign funds'research results on risk measurement and performance evaluation. This paper also made some useful exploration of quantitative study in the fund's performance evaluation by means of strict reasoning and careful empirical. The main Innovations as follows: 1) Use downside semi-variance computing system risk; 2) Use a new risk measure CVAR to modify the Sharpe ratio; 3) Use the ideology of data into up and down markets to evaluate the performance of the fund such as timing ability and selectivity of fund managers.