Empirical Study On Perofrmance Evaluation Of Closed-end Fund

With the gradual improvement of China's financial market, securities investment fund size has grown.There are more and more varieties of investment funds.The importance of funds performance evaluation is received concerns day after day.In the field of funds evaluation,we focuse on the evaluation of fund performance all along.The problem that the majority of fund investors concern about is that how to evaluate the performance of different funds so as to choose the highest rate of return on fund products in the proper and scientific way.On the base of the performance evaluation methods, the study of modern western mature markets is more popular. With respect to securities investment funds in China at this stage the market is more applicable by the way of the more mature western method of performance evaluation,to assess closed-end funds in China's performance more comprehensively in the last three years.The purpose of this paper is to provide a reference when investors making investment decisions.we can forecast the Fund's future investment from the results of the evalution of the performance.Through empirical research for 3 years of 17 closed-end funds data,we could glimpse the internal laws of the fund industry.The performance model can play a better role guiding investment in the actual prediction.Of course,there are many causal factors which also play a role. This article tells us the performance evaltation theory of the securities investment at first, and then introduces the theory of securities investment funds on the basis of performance evaluation. Secondly,making assessment on the domestic and foreign securities investment fund performance of the evaluation system,closed-end funds advantages and disadvantages of the traditional evaluation method.we construct evaluative model on the base of factor analysis and entroy theory. Again, we chose net assets of the Fund units,systematic risk coefficient (β),unit fund expense ratio,Jensen (Jensen),Treynor Index (Treynor),Sharpe ratio (Sharpe),the net growth rate,annualized yield,net growth rate,standard deviation of 10 indicators from the Select Fund Performance Evaluation System,and so on.After factor analysis,because the entropy method is not for the correlation between the indicators required to make a special feature. With the objective weight entropy method to determine the main factors affecting the Fund's performance in order to build a set of line with China Conditions of closed-end fund performance evaluation system and performance evaluation of closed-end funds an empirical analysis.Finally,we compare with the combination from the result of two evalution methods,using pearson correlation coefficient of two evaluation results to determine wheather or not consistency. After the factor analysis and comprehensive evaluation of the results of entropy theory,we calculate the evaluation results of the two methods combined score,which is given a more comprehensive and objective closed-end fund performance evaluation results by the combined score of the evaluation. The article also made a number of issues that need further study.At last,it make some policy recommendations to the results of the evaluation of securities investment funds.