| China’s fund market has become one of the financial markets with the highest participation of investors other than the stock market.In particular,the scale of public funds has gradually expanded under the growing development of the capital market.Meanwhile,since the 18 th National Congress,green development has also become an important concept in China’s economic and social transformation.As an important investment model in the field of green finance,green securities investment funds have gradually come into the public’s view,not only broadening the channels for investors to participate in green investment,but also promoting the transformation of enterprises and green economic development.The rapid development of funds has triggered scholars to explore performance evaluation in depth.Existing studies mostly use multiple sample data of certain types of funds to evaluate overall performance,and rarely analyze single funds in depth.Even the existing studies are mostly focused on top-performing funds,and few scholars have selected cases based on investment strategies,and green securities investment funds are even less specifically studied due to their small number and short establishment years,thus ignoring the development of certain segments of funds.In addition,the relative lag in the construction of fund performance evaluation system in China has adversely affected the work carried out by relevant market players.Accordingly,this paper selects Xingquan Green Investment Fund,the first green investment strategy fund in China,as a case study,and aims to summarize the existing research results,while taking into account the connection and comparison between different evaluation methods,to build a more complete performance evaluation system for it,in order to provide reference for the construction of a multi-dimensional performance evaluation system for similar funds,to provide investment assistance for investors with specific investment needs,and to provide targeted performance evaluation information for fund managers.It is expected to provide information for investors with specific investment needs,provide external opinions for fund managers to formulate targeted investment strategies,and provide policy suggestions for regulators to improve the fund market in the future.Based on the above analysis,this paper systematically describes the research background,significance and current status of domestic and international research,and sorts out the theoretical and empirical models of fund performance evaluation.At the same time,the company to which Xingquan Green Fund belongs,the fund investment strategy,the performance of previous fund managers during their tenure and other basic information are introduced in detail.In the course of the study,the author constructed a comprehensive performance evaluation system containing the following four aspects:(1)Use traditional return evaluation indicators and risk-adjusted return indicators to make initial judgments about the fund’s performance.(2)The TM-FF3 model was used to decompose the fund’s returns and further determine whether the fund’s performance is related to stock selection timing ability and investment style.It was concluded that the fund has overall stock selection ability but weak timing ability,and the fund’s good performance mainly comes from the assumption of systematic risk.(3)Considering the singularity of traditional risk-adjusted return indicators in evaluating risk,the GARCH model was used to measure the Va R values of the fund and the control group to evaluate its risk control ability,and the results of the failure return test showed that the selected model could effectively fit the risk of the fund.(4)The DEA model is used to comprehensively analyze the efficiency of this fund,and by comparing it with other green funds and traditional partial equity hybrid funds,it is found that the overall efficiency of green funds is low,but Xingquan Green Investment Fund ranks better in the sample in terms of efficiency.Finally,based on the corresponding conclusions and the current development status of the securities investment fund market and performance evaluation system,targeted suggestions are made for different market players. |
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