What are the methods for evaluating the performance of securities funds

1, M2 measure. M2 measure is also adjusted for total risk, which reflects the asset portfolio with the corresponding risk-free assets mixed to achieve the same level of risk as the market portfolio, the mixed portfolio return higher than the market return of the school compared with the Sharpe ratio, the economic interpretation of the more intuitive.

2, profit and loss ratio. The so-called profit-and-loss ratio refers to the ratio of the probability that a fund's excess return sequence relative to a benchmark return will produce a profit versus a loss.

In calculating the profit-and-loss ratio, different evaluators can choose different benchmark returns according to their specific needs, such as market index returns, risk-free returns, bank deposit rates and so on. In addition, the profit and loss ratio can be generalized to the ratio of the probability that the excess return exceeds a certain level to the probability that it falls below a certain level according to the specific needs. Profit and loss ratio indicator can reflect the performance of the fund performance intuitively, the calculation is very convenient, and without a variety of premise assumptions, it is a simple, convenient and practical indicators.

3, performance evaluation index. Performance index (performance i ndex) index is Michael Stutzer (1998) for the Sharpe ratio needs to be assumed that the fund returns normally distributed and proposed.

The performance index evaluation methodology assumes that fund managers are loss averse, i.e., they are averse to obtaining non-negative excess returns, and therefore they will construct portfolios based on how quickly they can make the probability of a recession, i.e., construct portfolios to maximize the performance index. From another perspective, if investors are assumed to be risk averse, the decline rate performance index of the above probabilities can be used as an indicator for investors to evaluate the performance of the fund. The higher the decline rate, the better the fund's performance, and conversely, the slower the decline, the worse the fund's performance.

4, utility index

Utility index evaluation method from the expected utility theory, according to the fund to investors to bring the size of the utility value to evaluate the fund. It does not require many of the premise assumptions necessary for a variety of traditional performance evaluation indexes, and at the same time, it is more intuitive than traditional evaluation indexes in terms of economic interpretation.

The value of the utility index depends on the risk aversion coefficient and the moments of each order of returns. Compared with the Sharpe ratio and other traditional performance evaluation indicators, the utility index can not only be applied to the case of non-normal distribution of returns, but also through the risk aversion coefficient to the evaluator's risk appetite into the evaluation, increasing the flexibility and applicability of the evaluation. However, it is very difficult to choose the appropriate risk aversion coefficient, which greatly affects the practicality of the utility index.