| With the rapid development of Chinese capital market, financial products keep growing, meanwhile the market functions keep improving. Security funds industry has also boomed in this period, such as the growing funds types and the expanding fund scale which has become one of the most important institutional investors among Chinese capital market. Open-end equity funds has been developed rapidly for ten years in China, which has become the most important investment type in the fund investment field, even more important than close-end fund which has come first. It is important to fund investors in making investment decisions, to fund company in improving management level, to fund regulators in setting regulatory policy for how to evaluate funds performance scientifically. A just and objective fund performance evaluation is better to fund industry and market improvement.Securities fund performance evaluation is generally includes several steps:first, choose reference standards, market risk-free return has been chosen as the standard; Second, choose fund performance evaluation index, the index of VaR-sharp has been chosen as the index; Third, choose the representative data sources, it has choose the fund units from sina finance and economics nets as original data; Finally, statistical analysis to the empirical results and give reasonable suggestions. This paper is according to the framework.It takes the research method of combination of theoretical and empirical analysis in this paper. First, this paper describes the background and research significance, especially describes the research status at home and abroad. Then it introduces the concept of fund-related, performance evaluation standard and evaluation model on behalf of funds electing-ability and persistence ability. On this basis,15 open-end equity funds which has got four-star for five-year on Morningstar in 2011 have been chosen for the study, data of fund unit from December 25,2007 to December 25,2010. Traditional Sharpe index and VaR-Sharpe index have been used to empirical analysis of sample data, then draw conclusions and recommendations of this paper. The results show that the calculated traditional Sharpe index and modified Sharpe index are negative and the absolute value of modified Sharpe is less than the absolute value of the traditional Sharpe index. Through the Spearman rank correlation test, it showed that there is a strong positive correlation between the two results. Absolute value of traditional Sharpe index bigger than the modified Sharpe index indicates that the traditional Sharpe index exaggerate the risks or benefits for using standard deviation of fund return rate. Both of the two results show a negative value, for the range in our sample meets stock market downturn, so fund performance was generally weaker than the market risk-free returns.For the results of this paper, I get some suggestions as follows:(1) Proposal to the fund investors, when do choice to investment funds, not only pursuit to high returns, but also consider risks, choose the right risk-return preferences appropriate to yourself to invest. (2) Proposal to fund Management Company:fund management companies should pay attention to measure and control risk in the pursuit to higher returns. Companies should establish an internal performance evaluation system to measure fund performance and adjust the fund investment strategy timely. (3) Proposal to regulatory authorities:Regulatory agencies should regulate the securities market, enhance market efficiency, improve the market information disclosure system, and establish open and fair information environment, which is not only the key of our securities market more standardized and more effective, but also an important way to securities investment funds to improve stock-selection ability and market-timing ability. |
PDF Full Text Request