Then I established the relatively reasonable market datum by the type of the sample open-ended funds, selected the returns ratio that has no risk. At last I made the analysis of 22 open-ended fund during two years from 2004 to 2005 by the risk-adjusted performance targets、 market timing and securities selecting targets and performance persistence targets. At the same time I made a synthetic evaluation and a sort on the sample funds by the Entropy method.
Then the article analyzed empirically the ability about security selection , market-timing and performance persistence of Chinese security investment funds, accordingly we draw a conclusion that Chinese security investment funds win the market, but the performance level of the whole Chinese security investment funds need improve farther.
From three aspects of fund performance, that is risk premium, performance attribution and performance persistence, this paper selects 11 evaluating index, which include Sharpe index, Treynor index, Jenson index and so on. It makes this evaluation system can represent funds’performance information completely, afterwards main component analysis is carried out to predigest evaluation outcome to obtain final evaluation result.