Investment Funds Performance Study Based On Combination Evaluation

The mutual funds have become one of very important organization investors, and have produced more and more in-depth influence to the development of Chinese finance industry and national economy. As one important partial of the funds development, performance evaluation of investment funds is a theoretic and practical research topic. With rapid progress of mutual funds in China, It is very valuable for the investors, the administer companies of fund, or the supervisory department of market to build the integrated evaluation system of the performance of mutual funds.Based on overseas ripe evaluation methods and advanced evaluation system, the paper applied research methods combining empirical analysis with comparative analysis to evaluation performance of mutual funds in our country, and according to the deficiency of the single evaluation method in the aspects of funds performance evaluation, taking combination evaluation method to funds performance evaluation. First, the paper used sample funds to analyze the performance of investment funds including income and risk, income after adjusting risk, performance attribution and performance persistence, and then using the results of the single evaluation methods to carry out combination evaluation, finally built the evaluation system of the performance of mutual funds based on combination evaluation.The thesis consists of five parts.The first chapter is the introduction. We elaborate study background and significance, literature survey of the study on domestic and international security investment fund performance evaluation, and then summarize the existing problems of funds performance evaluation in our country.The second chapter is the summarization of security investment fund. We briefly introduce the concept, characteristic and type of security investment fund, and present conditions of security investment fund in our country.The third chapter is the study on evaluation system of the performance of security investment funds. In this chapter, we firstly introduce the methods of income evaluation, risk evaluation, income evaluation after adjusting risk, performance attribution and performance persistence on fund performance evaluation, and then taking combination evaluation method to funds performance evaluation, and introduce the concept, type, priori and post tests of combination evaluation.The fourth chapter is the empirical study on performance evaluation of security investment funds. This part takes thirty open-end funds that were set up before December 31 in 2004 as sample funds during January 4 in 2006 to December 29 in 2006.We carry out empirical study on performance of each fund separately using the single method and combination evaluation method, valuing and analyzing them scientifically and reasonably, and correctly understand their good or bad performance, and finally draw a conclusion.The fifth chapter is the conclusion. The main results are: when overlooked risk, performance of Chinese fund exceeds benchmark; when based on risk-adjusted measures, Chinese fund as a whole can exceed risk free rate of return, but can not significantly exceed benchmark; its risk as a whole is higher than benchmark's and its investment is correspondingly concentrative, which can not fully disperse non-systematic risk; fund managers have some market timing and stock selection skills, but lack significant evidence; the result of combination evaluation method is more scientific and reasonable.