The Performance Evaluation Of Securities Investment Fund In China

This paper, first of all, states the status and characteristics of securities investment fund market in China based on the theory of Securities Investment Fund and its performance evaluation. The securities Investment Fund is most ordinary and widespread fund which represents the main flow of fund development. Compared to securities investment fund market in western countries, the deviation lies in that SIFM in China is still in the initial stage, with imperfect laws, a lot of government intervention, high barrier to the market, and few qualified rating agencies.Secondly, we introduce briefly the status of performance evaluation of securities investment fund at home and abroad. Single-factor model, such as return rate of fund, sharp index, Teynor index, Jensen index, and multiple-factor model based on asset pricing theories were used as the method to evaluate fund at the beginning. And then, a group of experts take risks and capacities of funds into account by modifying the models. As a result, VaR method is the most outstanding one. A list of professional rating agencies was emerged with the segmentation of market. One of them is named Morning star. In recent years, a number of well-known fund-rating agencies have been creating their branches in China, and some domestic rating agencies sprout meanwhile.This paper brings up a particular method of fund evaluation by analyzing the shortcoming of VaR as well as the method from Morning star in evaluating domestic securities investment funds. That is to say, given risk and return index, we consider the return of funds and costs comprehensively by treating individual fund as a particular company. In empirical study, the funds are normally rated through factor score from the Principal components factor analysis. After we compare the rating outcomes with those from professional rating agencies, it turns out to be feasible that the Principal components factor analysis is employed to assess the recent performance of China’s securities investment fund.