China's Fund Managers, Investment Theory And Empirical Research On Performance Evaluation Method

From 2007 to 2010, China's A-share market has experienced four typical stages: bull market, bear market, bull market and vibrated market. The fund business (securities investment) of our country has been growing steadily and become more mature. In particular, the open-end funds have constituted a major force in the A-share market and produced many a number of stars among the fund managers. Via analyzing the investment performance of these fund managers, we could further understand the running features of China's A-share market and provide advice concerning the healthy operation of fund business and find guidance with regard to the fund investment in the future.The present study theoretically compared three classic evaluation indicator models which are used to evaluate the performance of fund managers, then creatively designed D index, J index and DM index models after the adjustment of downward risk, and at last apply the models to our practical situations of our country. Via empirically analyzing the investment performance of 34 fund managers who have relatively long experiences in this industry, the author has evaluated the general performance of the fund managers after the adjustment of risk and concluded:China's A-share market is not efficient; China's A-share market exists overshooting problem, which results in the short-term risk higher than long-term risk; fund managers of our country can better control the downward risk of performance; the performance of fund managers from same company has great relevance to each other.Employing the T-M model and H-M model, the author empirically analyzed the ability of fund managers to choose shares and time in the full range and concluded: the time-choosing ability of our country's fund managers is not significant, or negative or none; the initiative type of fund managers mainly gained the higher part of rate of return than the market via choosing right shares. Via the empirical analysis of the time-choosing ability of fund managers in bull market, bear market and vibrated market, the author found:the time-choosing ability of fund managers in bull market is better than that in bear market and vibrated market, and the fund managers have the tendency to increase the value ofβof the fund portfolio; the fund managers in bull market have stronger share-choosing ability.This thesis is an overall analysis over the performance evaluation of fund managers, which via analyzing the root cause of the evaluation results will provide glimpse into the operation of China's securities market and the investment research of fund business and promote the healthy development of China's fund market.