Fund Performance Evaluation Model And Its Empirical Research In China

As the rapid development of China's mutual fund industry, the quantity and size of themutual fund is becoming more and more large, so the comprehensive and objectiveevaluation of the funds' investment performance is becoming important and urgent. Thesignificance is that it could strengthen the risk awareness of fund investors and protectthe interests of them, thus boost the mutual fund industry's healthy development.The performance evaluation of mutual fund is the application of modern portfolio theory.The key problem is the relationship between return and risk which the fund undertakes.Aiming to improve the measurement of performance evaluation based on risk; make theevaluation scientific, this paper use theoretical analysis and empirical study.In the part of theoretical analysis, the author reviews the theoretical foundation ofperformance measurement of mutual fund, including the portfolio theory of Markowitz,CAPM model, arbitrage pricing theory and the hypothesis of effective market. On thisbasis, this paper discusses the performance measurement of mutual fund from threeaspects: the statistical analysis of return, the measurement of risk, risk-adjustedperformance measurement. And modify the performance measurement of fund based onCAPM from two aspects: the function of utility of investors and return distributionfunction, coming out the revision form of Jensen measurement and Treynormeasurement.In empirical study, the author takes all 54 closed-end funds in Chinese capital market asanalysis sample, and takes the weekly returns from September 13th, 2002 to December29th, 2006 as sample data. This paper carried on the empirical research with four aspects,which including statistical analysis of return ratio, relationship analysis of return and risk,difference analysis of revision form model and original model, relevance analysisbetween all kinds of measurement. After that, some meaningful conclusions have beendrawn. The results reveal that most sample funds have exceeded the market'sperformance, and all kinds of performance measurements have a prominent correlation.