The Performance Evaluation And Empirical Research Of China’s Securities Investment Fund

With the continuous improvement of personal income and living standards,today’s people are no longer satisfied with the single financial pattern of bank saving,they are looking forward for a higher return one. Without doubt, the emergence of thesecurities investment fund provides a better way for people’s investment and for theirfinancial arrangement. Compared to foreign, China has a late start, but a rapiddevelopment. For the past20years, the securities investment fund has become animportant role in Chinese capital market. Then, a question has been asked, how can weevaluate the performance of one security investment fund fairly and effectively? We candivided its performance evaluation into two aspects: On the one hand, it contents yieldrate assessment and risk assessment, on the other hand, for people can get furtherinformation, we search for the source of the securities investment fund’s performance,and try to explain their poor performance.In views of this, in the first place, this paper analyzes the research results offoreign and domestic scholars. In the second place, based on the nearest three year’sdata in Chinese securities investment fund market, uses comprehensively Treynor index,Sharpe index, and Jensen index, and risk-return rate for empirical analysis. In but ofevaluating investment fund manager’s time-choosing ability and stock selection ability,this paper uses T-M and H-M models. In addition, this paper also establishes anassessment model for comprehensive evaluation of the securities investment fund usethe principal components analysis method. For further information, this paper also usesMulti-periods Brinson performance attribution model to find reasons that lead poorperformance, and also the performance persistence test of the securities investment fund.This article was divided into four chapters. The first two chapters were introduction andthe theoretical part. The accent of this article is on the third chapter, the empiricalanalysis. Based on all this above, the last chapter provides some practical advices andreaches a conclusion.This result shows that: the overall performance of China’s securities investmentfund did better than the risk-free return, and can be considered as substitute of banksaving. Managers have obvious stock selection ability, but poor performance oftime-choosing ability. Overall, performance persistent doesn’t exist. The performanceattribution analysis can help with the evaluation of managers’ asset selection ability andstock selection ability. All these above are useful for both investors and securitiesinvestment funds companies.