China's Securities Investment Fund Performance Evaluation

In global economy, investment funds play a very important part. It is not only the regulator in capital market but also the roll booster to the global economy. With its global progress, the security investment fund develops quickly in China, and its principle is accepted by more and more people. In order to protect the benefit of most investors and provide administers of the fund with the basis of decision, the paper has been written. On the other hand, compared with developed country, there is still some limitations in our country? fund. Those are the reasons why the author chooses this topic. This paper uses the theory of portfolio and single index model to analysis the performance of the fund and also utilizes the knowledge in statistics for designing a new integrated index, and then compares each fund using the indexes. At last, the author makes a profound analysis to reflect the performance of the investment fund completely and objectively. Part 1 Firstly it is necessary to introduce the conception and character of the fund. In the second, the author expounds the development of the fund in the world and in china in order to explain the important effect on national economy. Part 2 This part is the basic point and emphasis of the whole thesis. First of all the author brings forward the core of the portfolio performance analysis on its return and risk. The analysis to portfolio performance is also the analysis for the administer抯 ability which include the style and the quality of the portfolio~. the degree of the decentralization for non-systematic risk~ the goal of the portfolio and market timing. Administer抯 ability is showed by the ability of gaining the information, especially the extra information. Because the information can be treated as return and risk, the core of the portfolio performance analysis is the return and risk. Second, using every index, the author analyses the performance of the fund. Expectant return and variance or are used to be the basis in the analysis. According to the rule of the E(r) ?u ,which says that in front of the same return the investors prefer to low risk or they choose high return in face of the same risk, it cannot represent true the portfilio抯 performance by using only one index. It requires to analyse the performance based on the risk adjustment. Index Sharpe and Treynor are good ways to resolve this problem. Index Sharpe bases on SMIIL which using variance as the measurement of the risk, while index Treynor bases on CML using P to measure the risk.Due 1 to the difference between the index Sharpe and index Treynor, the discrepancy is appeared in portfihio performance analysis. What is new in this paper is that the author creates a new index which can explain the performance comprehensively. Part 3 In this part, the author gives a demonstration with the actual data of china抯 fund. Before setting about the analysis, the author disposes the data in 5 factors: the choice of period~ the choice of samp1e~ the choice of the non-risk rate~ the choice of norm portfolio ~ the calculation of the return. Then with the index introduced in part 2, the performance of portfolio can be analysed. Part 4 This part is the profound analysis for the result made by each index. There are three conclusions. First : by the comparison with fund抯 expectant return~ index Sharpe~ index Treynor and the new index, the author concl...