Empirical Analysis For Performance Evaluation Of Chinese Asset-Allocation Fund

Securities Investment Fund is an indirect way of securities investment, which the investors usually buy to invest in the stock market indirectly. It is a robust investment solution, whose risk between risk-based stock and conservative bond. In recent years, it has become the first choice of domestic professional or amateur investors. It has also been favored by Social Security Trust Fund and become the largest institutional investors.Because Fund's gains and losses relates to the interest of investors, the level of management and rate of return on investment from the fund management company become the focus of investor. Investors are always based on fund's performance to judge whether the investment objective has been achieved. On one hand the fund management companies use the funds performance for marketing; on the other hand they improve the investment skills according to the performance. Therefore, lots of fund performance evaluation methods appear.This paper focuses on the risk-adjusted performance measurement, taking previous research on fund performance and western fund performance evaluation theory as reference, including single-index model based on CAPM, multi-index model based on APT Model, market timing ability model and stock selection ability model. It takes some asset allocation funds and ETF as samples, then do the research by mathematical statistic methods such as linear-regression method, in order to verify the usability of western fund performance evaluation theory on domestic stock market and provide the suggestion for investors.In this paper, Mean-Variance model, three risk-adjusted index model (Treynor, Sharpe, and Jensen), T-M and H-M model are used to analyze the performance of sample funds. The conclusions are as follows:(1) there is little difference between rankings based on risk-adjusted return and rankings based on pure return. (2) Sample asset-allocation fund has certain stock-selection ability but no significant timing ability. (3) The result of different model for fund performance evaluation is similar. (4) There is no significant difference in performance between asset-allocation fund and SME ETF during the Oscillation cycle.Finally, combined with empirical research results and related analysis, the dissertation put forward some proposal from investor point of view and financial regulator point of view.