Empirical Research Of Invest Efficiency About Closed Investment Find In China

Evaluating the invest efficiency of Securities Investment Fund is beneficial not only for investors to make their choice on the basis of investment demand, but also to promote stable development of the fund market, and enhance the operation efficiency of the capital market. In the past, the empirical study on this issue are all separate analysis based on Treynor index, Sharpe index, Jensen index, T-M model and H-M model, and not consider their reflection in evaluate the efficiency of the Investment Fund comprehensively. This paper will chose all the Closed Fund in 2006 as samples, make use of eight evaluated indicators such as investment rate of return, Treynor, Sharp, Jason, standard deviation, systemic risk, security selectivity ability and marker timing ability, study their synthetic influence to the invest efficiency of Investment Fund, using various statistic methods such as factor analysis, cluster analysis, compare analysis and so on. The purpose of this paper is to design a comprehensive evaluation model of investment fund efficiency, divide all Closed Fund into three groups, studying its influencing factor, so as to provide the investor a direction on choosing the right fund, and it also provide a new way about the similar empirical analysis.In the empirical study, firstly, designs the empirical research on the invest efficiency of Investment Fund, including samples choosing and sourcing, evaluated indicators computing. Secondly, analyzing the interrelationship between evaluated indicators according to the principle of factor analysis, we can obtain public factors which could represent the major information of all the evaluated indicators. Then, using the public factors as independent variables to design a comprehensive evaluation model of investment fund efficiency. Arrange the public factor scores and the integrated scores into sequence, we can find that the invest yield of Closed Fund is lower than the market yield, the fund'system risk is closer to the market'system risk and only a few closed fund have better invest efficiency. Thirdly, according to the principle of cluster analysis, all Closed Fund are divided into three groups which are high risk and low return, low risk and high return, low risk and low return in accordance with the relationship between risk and returns by system-cluster method. Studying the influencing factor of each group, we can conclude that return and risk are the major factors to determine the integrated scores, fund managers do not have significant ability to select the right securities in time, the invest efficiency of fund have little relation with fund style and Small-scale Fund performing better than Large-scale Fund.Analyzing the research conclusion, we can find that we could enhance the invest efficiency of Investment Fund by perfecting the law, establishing a perfect fund evaluation system, strengthening management of fund corporation himself and improving investors'discerning ability in the securities investment market. There are some limitations in the research, such as there are not enough sample data and the adaptable condition of the evaluated indicators not being tested, etc. With a comprehensive evaluation methodology, chose enough sample data and study several factors'synthetic influence to the future invest efficiency of Securities Investment Fund is the future research direction.