I The returns of different funds in different time intervals are incomparable II The risks of different funds in different time intervals are incomparable III The returns of different funds in different time intervals are comparable IV The risks of different funds in different time intervals are comparable.
A.ⅰ、ⅳb、ⅲ、ⅳc、ⅰ、ⅱd、ⅱ、ⅲ。
Factors that should be considered in fund performance evaluation include:
1. The significance of fund performance evaluation
Fund performance evaluation is the evaluation of fund managers' past investment performance, which is a fair and objective evaluation of fund managers' investment performance in a quantitative way, excluding the general market rate of return, the market risk and income of funds.
2. The purpose of fund performance evaluation
Fund performance evaluation is a measure of fund managers' investment ability, and its main purpose is to identify outstanding investment managers with extraordinary investment ability.
3. Fund performance evaluation method
Generally speaking, the evaluation of fund performance is mainly based on the historical income, risk and risk-adjusted income of the fund, and the corresponding indicators are selected for quantitative analysis.
Fund rate of return: Fund rate of return includes average annualized rate of return, cumulative rate of return and corresponding benchmark rate of return; Risk indicators of the fund: the risk indicators of the fund mainly include the standard deviation of the rate of return, the maximum withdrawal and the standard deviation of the corresponding benchmark.
Standard deviation: calculated according to the fluctuation of portfolio in a period of time, the standard deviation reflects the fluctuation range of portfolio return. The greater the value, the greater the fluctuation of portfolio return and the greater the risk.
Maximum retracement: maximum retracement refers to the maximum value of yield retracement at any historical point in the selected period when the net product value reaches the lowest point. Risk-adjusted returns of funds usually investors pay more attention to risk-adjusted returns, which can more objectively reflect the investment returns of fund managers under certain risks and facilitate the comparison between different fund managers.
According to the different risks involved, risks can be adjusted in different ways. Commonly used risk-adjusted profit indicators include Sharp ratio, Treno ratio, information ratio, sortino ratio ratio and Kumar ratio.