| Since the securities investment fund realized listed on 1998 for the first time, it begins to plays an important role in China’s capital market and finance industry. With the scale of securities investment fund increases, its operation mode and strategy also becomes more variety and personalized, which can provides more choices for us general investors; moreover, it requires higher quality for related institution to evaluate the funds’performance objectively and impartially. Whether the securities investment fund made excess profit for investors, whether it preferences better than the capital market, whether it effectively evade the risks, all these questions are occupied managers, investors and regulators’attention. For the investors, it is important for to evaluation the funds scientifically and objectively if they want to choose a ideal portfolio and estimate the achievement of the syndics; for the fund’s managers, by knowing the performance of funds, they can revise the investment plan as well as by summarizing the successful operation experience to improve management level.This paper is based on the traditional portfolio theory, also companied with the Statistical Arbitrage method, to accomplish a good method for evaluate the funds’preferences. This paper will be divided into six chapters:The first chapter mainly introduced the open-end funds by telling its concepts, characteristics as well as its development level in china. What is more, this paper expounds the securities investment funds’performance appraisal system at home and abroad.The second chapter evaluated the operate style of the fund, as well as its classification by doing some empirical research. In this chapter, there are two innovations:one is the choosing of the risk-free rate and market index options, while the other is the classification of fund yields from the side of market performance, all of which is different from the former research.The third chapter introduces return indexes and risk indexes briefly, by doing some empirical research either. This chapter referred several return indexes, such as:Jason index, Treynor index, Sharpe index and Valuation ratios. The innovation point of this chapter is setting up an information ratio by adding risk-free assets. Although this index is unable to analyze the attribution earnings, it can depict the efficiency if the investment choice deviated from the benchmark.The fourth chapter is about the Fund’s attribution analysis and the evaluation of selected timing ability. The Attribution analysis is based on the Fama model, by using some relative index and evaluation index, while the Evaluation of selected timing ability is rely on HM model and TM、HM model, which are in widespread use.The fifth chapter is about the funds’ future earnings situation under the Bootstrap Method Measurement and the comparison of assets under the circumstance of statistical arbitrage. The estimation of Future earnings is based on a Monte Carlo method by using historical data. This pare a multi-step prediction density function is constructed and the confidence interval is 95%.Meanwhile, in response to the emergence of some uncontrollable circumstances, this part introduces a self-financing statistical arbitrage strategy, by using Hogan arbitrage model.The sixth Chapter gives some constructive advice for promoting the performance evaluation system for the funds, considering the previous empirical results.This paper has the following innovations:(1) Different from the previous empirical research of the fund performance evaluation, we here by introducing the calculation of future income and self-financing statistical arbitrage strategy, to set up a relatively new fund performance evaluation system.(2) Trying to use the classical ratios that are widely used to establish an evaluation system, as well as established some index may reflect the conditions of funds investment, to make sure that funds performance evaluation system has been improved.(3) At the time of choosing the market benchmarks, I am trying to abandon the drawbacks of previously used indicators, to make the assessment more equitable.(4) The empirical study used a short-term data, compared with previous empirical research, the Fund’s assets in my paper are classified by investment style, to enable investors observe the operations of single funds easily.In this paper, I choose a small number of funds as model sample, so that the conclusions may be seems one-side, however, if the number of selected funds is too much for the weight of evaluation system, it will also bring Error because of too much calculation. This evaluation system in my paper is designed to provide a fund of new ideas, so I chose a representative selection of six funds as sample for my empirical study. |
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