Research On Performance Evaluation Of Securities Investment Fund In China

With the sustained and rapid development of Chinese economy,Chinese fund industry has also entered the stage of rapid growth from the beginning and standardization to the present.Since the birth of securities investment fund market in 1998,the fund market in China has experienced more than twenty years of development.In this process,China's securities investment fund market has undergone great changes,the scale of the fund industry has grown rapidly,and the types of funds have gradually diversified.Scientific,objective and impartial performance evaluation system is of great important to both the fund industry and the individual investors.China's fund evaluation business has been carried out for ten years.At present,there are mainly ten fund evaluation institutions which carry out securities investment fund evaluation business,but investors have different opinions on the effect of institutional rating.In the academia circle,the research on fund performance evaluation has never stopped.In the early stage of the development of the fund industry in China,the academic circle were enthusiastic about the research of the fund evaluation system.However,due to the small scale of the fund industry at that time,the research samples,evaluation methods and test methods were all restricted by many constraints.At present,the long-term development of fund industry provides more data support for fund performance evaluation,and the development of other disciplines also provides technical support for the research of fund evaluation system.This paper will study the comprehensive evaluation of securities investment funds in China by combining data mining technology,gray system theory,behavioral finance and other related methods and theories.On the basis of combing the existing fund performance evaluation system,this paper first establishes a three-year performance evaluation model based on data mining technology,and uses 110 hybrid funds to carry on the empirical analysis.Then,the gray target evaluation system based on the interval gray number was established by using the gray system theory.After that,the evaluation period was divided into several stages,the change trend information was introduced.Considering that interval gray number was easily affected by extreme value,a dynamic gray target evaluation model based on three parameter interval gray number was established.In addition,136 hybrid funds are evaluated for five years by using relevant models.Finally,the psychological factors of investors are introduced into the fund evaluation system through the prospect theory,and136 hybrid funds are evaluated again in five years.Through three different test methods,three different test intervals,and the horizontal comparison between the evaluation of simple rate of return and the evaluation of the main evaluation institutions,this paper tests the evaluation effect in the empirical analysis,and draws the following conclusions:First,A longer evaluation period can bring better evaluation effect,but the three-year and five-year evaluation results of fund evaluation institutions still need to be improved.The evaluation periods involved in this paper are one year,three years and five years.From the evaluation effect of simple rate of return,the evaluation effect based on five-year historical rate of return is better than that three-year historical rate of return,while the evaluation effect based on one-year historical rate of return is the worst.In this paper,the three-year evaluation of Jian Financial Information,Shanghai Securities,China Galaxy Securities and Morningstar,and the five-year evaluation results of the latter three institutions are tested.From the results of the three test methods,even the funds with consistent three-year evaluation of the four institutions have no significant sustainability in their performance in the next six months,the next year and the next two years.The results of the five-year evaluation of Shanghai Securities,China Galaxy Securities and Morningstar are also unsatisfactory.In contrast,the results of the Morningstar work a little better than that.In addition,the evaluation model based on data mining technology from the consistent results of the four agencies can not get effective evaluation effect.Second,the gray target evaluation model based on interval gray number can not effectively improve the evaluation effect by using the overall performance over a five-year period.This paper selects six indicators to form the fund performance evaluation index system: total return,downside risk,Jensen index,sharp ratio,information ratio and geometric average return by analyzing the index system of agency rating and the model based on data mining technology.Considering the high uncertainty of the market,the evaluation index of the fund is expressed by interval gray number,and the optimal state of the fund is taken as the positive bull's-eye,and the worst state of the fund is taken as the negative bull's-eye.The performance of the fund is evaluated by the distance between each fund and the positive and negative bull's-eye.In the determination of index weight,AHP and CRITIC method are used to determine the comprehensive weight.The empirical analysis of 136 sample funds shows that based on the five-year historical performance,the interval gray number and gray target model can not get better effect than the simple yield evaluation.The reason is that although the long-term evaluation effect is better than the short-term evaluation effect,in a long period of time,the fund performance is affected by a variety of uncertain factors,thus experiencing huge fluctuations.The value of the evaluation index in five years is represented by an interval gray number,resulting in the loss of a lot of information.Third,the longer evaluation period is divided into several stages,and the dynamic evaluation based on multistage performance status can bring better evaluation effect.For a fund which in a longer evaluation period,its profitability may be better in a certain period of time,and its anti risk ability may be better in another period of time.So it is necessary to consider the fund's profitability,anti risk ability and fund manager's management ability in five years by stages.After the evaluation period is segmented,the performance of multiple stages is evaluation comprehensively.The results of empirical analysis show that,compared with the gray target evaluation before segmentation,such dynamic evaluation can bring better evaluation effect.Fourth,the dynamic gray target rating based on three-parameter interval gray number has remarkable effect.Considering that the prediction effect of the dynamic evaluation which divides the evaluation period into multiple stages is not significant enough,the median is introduced as the third parameter of interval gray number,which makes the evaluation effect of the gray target dynamic model significantly improved.The introduction of the third parameter can reduce the uncertainty of the evaluation index and make use of more historical information.The results show that the evaluation effect of dynamic gray target model based on three-parameter interval gray number is significantly better than the evaluation only using simple rate of return and the evaluation of three evaluation agencies,and is significantly better than the gray target evaluation based on two-parameter interval gray number,which has obvious prediction effect on the short-term,medium-term and long-term returns after the rating period.Fifth,the introduction of performance change trend makes the effect of gray target evaluation more significant.The test results based on rating difference and correlation analysis show that the correlation between fund rating and future returns can be improved by comprehensively using the status and trend information of the fund in multiple stages after considering the information of performance variation trend.Therefore,the introduction of the change trend of the fund's historical performance is beneficial to improve the effect of the gray target dynamic evaluation.Sixth,the fund performance evaluation model based on prospect theory not only conforms to the irrational psychology of investors,but also has a better evaluation effect.According to the prospect theory,actors' different attitudes towards loss and gain will affect their evaluation and decision-making under uncertain conditions.The loss and gain are relative to a certain reference point.Combined with the idea of dynamic gray target evaluation,the positive and negative target centers of all sample funds in each evaluation index are used as reference points to construct the value function,and the comprehensive prospect value is used to evaluate the funds.The results of empirical analysis show that this rating is highly correlated with the dynamic evaluation result of gray target based on the gray number of the three-parameter interval,and the evaluation result has a better prediction effect on the return rate of half a year,one year and two years after the evaluation period.In this paper,it adopts new methods,considers new factors,and analyzes the fund performance evaluation from a new perspective.Compared with the existing fund performance evaluation research,the main innovations are as follows:First,the gray target evaluation method based on interval gray number is used to evaluate the fund comprehensively.The evaluation index is represented by the interval gray number,and the median is taken as the center of gravity of the interval gray number,which fully considers the uncertainty of fund performance and makes full use of the information of index value.Furthermore,the evaluation of each fund should consider not only the distance from the optimal state,but also the distance from the worst state by using the concepts of positive bull's-eye,negative bull's-eye,positive bull's-eye degree and negative bull's-eye degree.In this case,the evaluation result is more reasonable.From the evaluation results,the results of three different test intervals reveal that the gray target evaluation method has achieved remarkable results in the evaluation of fund performance.Second,the dynamic evaluation of fund performance is adopted,and the trend of performance variation is considered.Due to the relatively short development time of fund industry,there is little dynamic evaluation of fund performance in China.Only a few dynamic evaluation studies have evaluated the overall trend of fund performance in China.Considering the volatility of fund performance in the long term,this paper divides the evaluation period into stages and evaluates the fund performance comprehensively according to the performance of each stage.In fact,it is necessary for an excellent fund to have a good state and strong vitality.The introduction of fund performance trend between the phases can exploit the potential vitality of fund performance adequately,and thus the fund evaluation has more predictive power.Third,the irrational psychology of investors is considered in funds performance evaluation by combining the prospect theory.Existing research has considered the psychological factors of investors in fund evaluation.The main form is to introduce the risk aversion parameters that represents the psychological factors of investors.Psychological research shows that most people are risk averse in the face of gains,but risk preference in the face of losses.The prospect theory is introduced into the evaluation of fund performance,which not only considers the different attitudes of investors to the gains and losses,but also redefines the gains and losses by comparing with the relative performance of other funds,so that the description of investors' psychological factors is more reasonable.