| With the rapid development of China's mutual fund industry, the number and size of the mutual fund is becoming more and more large, so the comprehensive and objective evaluation of the funds' investment performance is very important and urgent. The significance is that it could strengthen the risk awareness of fund investors and protect the interests of them, thus boost the mutual fund industry's healthy development.This paper first analyses the significance and principles of mutual fund performance evaluation. Then introduces the 2 fundamental theories of mutual fund performance evaluation, that is Markowits Model and CAPM Model. After that, the 3 important factors that will influence the evaluation are discussed. Then the paper discusses the qualitative analysis, quantitative analysis and comprehensive evaluation system of fund performance evaluation. Quantitative analysis includes the aggregate performance evaluation and the components of fund performance. The comprehensive evaluation system is analysed by introducing the Morningstar's rating system as an example. At the end of the paper, an empirical study of the 25 Shanghai Stock Exchange listed closed-end mutual funds' investment performance during 2003.4.11---2004.3.19 is made. The empirical study finds that as a whole, the sample funds' investment performance exceeds the benchmark's. The rankings of the funds' performance is not sensitive to different benchmarks and the rankings of their Sharpe ratio, Treynor ratio and Jensen ratio are very close. Generally speaking, the sample funds don't have market timing ability. The return comes mainly from the fund's selectivity ability. |
