The Empirical Research of the Securities Investment Fund Performance Evaluation with Different Investment Strategy

摘要

In this paper we use three indices,Treynor index,Sharp index and Jensen index,to make a composition model to evaluate the profitability and the risk of funds.Using 10 samples' data from 2007 to 2009 we proved the investment strategy was the important factor to the funds' performance and three indices had high correlativity.In all types of investment strategy,the composition index shows the growth-type funds have the best profitability than the balance-type funds and the index-type funds is the worst one in the period of the sample.