基于证 券投资基金业绩的基金管理人行为评价分析-evaluation and analysis of fund managers behaviors based on the performance of securities investment funds.docxVIP

ABSTRACTFrom1998to2006,thenumberandsizeofthedomesticsecurityinvestmentfundshasbecomefromzerotomorethan90,over1,700billionassetsize,ithasalsobecomemorediversifiedinvestmentstyle.However,domesticfundindustryhasneverhadacomprehensiveandeffectivesystemtoassessingthefundsperformance.IntheUnitedStates,thefundratingwithbondrating,theratingofcommonsharesconstituteacreditratingofthethreepillarsinthecapitalmarket.Therefore,withtherapiddevelopmentofsecurityinvestmentfundindustryinChina,andlearnfromtheinnovativeexperienceinthisfield,tocreatearealisticevaluationsystemistheoreticalandpracticalurgency.Basedonthemanager’sbehaviorofthesecurityinvestmentfunds,thispaperconductperformanceevaluation,focusingontheories,modelsandmethodsofthestudy.Thestudyisdividedintotwomainparts:analysisonrelationshipsbetweenfundsmanager’sbehaviorandfundsperformanceandevaluation.Analysisonrelationshipsbetweenfundsmanager’sbehaviorandfundsperformance,startingwithMorningstartorepresenttheperformanceevaluationmethodexiststheproblemoffocusesonresultsandlightprocess,aimedatitsownspecialcharacteristicsofthecountryscapitalmarketinChina,learnedthethreekeyissues:evaluationmethodandbenchmark,fundperformanceattribution,fundperformancesustainability.ItprefersthattheJohnsonindexandweightbenchmarkismoresuitabletoChinesereality;Evaluatingthefundmanagersrisk-adjustedabilitypreciselyevaluatethebehavioroffundmanagers;Fundsperformancepersistenceisnoobvious,hothandphenomenondoesnotexistinChina.Secondly,analyzingthefactorsaffectingthefundsperformance,itperfersthefundsperformanceisintheresultsofthefundmanagersbehaviorandthemarketrisks.Finally,theintegrateduseofsystermscience,operationsscience,economy,managementsciencetheoriesandconnectionwithrealitymethods,buildedmodeloffundmanagersbehavior,buildedmodeloffundmanagersbehaviorandperformance,asacomprehensive,systematicandfairevaluationofthefundmanagersbehavior,providesatheoreticalbasis.Intheevaluationoffundmanagersbehavior,firstly,fromthefundmanagersstockfundsreturnrateandthesiz