China's Securities Investment Fund Market Timing Ability Empirical Research

After Terynor and Mazuyoriginally introduced the performance of inverstment funds in 1966, much researh has been done on the performance evaluation of funds.And though decads of year's hard work, experts abroad have set up a mature and systemic theory system .However, people do not satisfy the simple income of investment funds or the ratio of risk to venture adjusting, but want to know the interior structure of funds. So the recent research is focusing on the investment style of funds, scale,duration and the relationship of structure of fund company with the performance of the funds and so on. But, from now on, there are still some disagreement in the choosing of index. Different country and fund sample could do some precise evaluation as well. And this is the main purpose of this paper.There are several innovations in this dissertation. Based on the seperation of funds time choosing and stocks choosing ability , the paper makes more distinct meaning of time choosing from the point of economics . Under the background of China economy, it use a lot of abroad research result to get seveal novel ideas. The major point of this paper is doing some research on funds income time series and funds investment combination. Step by step, it also review facts such as the model, norm, no risk interest and the lenth of time unit which make some effects on the funds time chooing ability. And in this paper, seveal statistic methods such as non-parameter and parameter test are used to prove the funds choosing ability.The research makes the following conclusions:1.The data in my study is not auto correlated, which meets the requirements of the OLS method. And the methods selected (CAPM model, Jesen model, T-M model, H-M model) can be applied in the funds market in China and serve as guidance.2.The performance of funds market in our country is better than the whole security market. But due to lack of Statistical support, and it is full of high risks.3.With the different background , The ability of China's security investment funds has various aspects.4.The idea of investment combination could help to remend the error which comes from the income time series .5.The difference of research time unit makes great effect on the research result.