Research On Performance Of China's Collection Asset Management Plan

Since 2005, with the booming of China's stock market and the overall strength growing of the domestic securities firms, collection asset management plans have emerged. With the continuous expansion of the size and number of such products, they gain more and more attention by investors. Collection asset management plans increase the broker's revenue sources and make securities firms become the most potential institutional investors in China, which enriches and improves the securities market in the main and meets different investors' preferences. In this context, the performance evaluation research of collection asset management plans has practical significance.This paper describes the concept and features of collection asset management plan, and analyzes the similarities and differences with the fund. Then it describes the development situation and future trend of this kind of financial product in China. In this context, it analyzes the need of the performance evaluation research of collection asset management plans. At the same time, this paper studies the collection asset management plan performance factors, and analyzes its differences with the evaluation of fund performance.This paper selects eight collection asset management plans from 28 December 2007 to December 31,2009 as research objects, using the geometric average rate of return, Sharpe ratio, M2 value and Sharpe ratio based on VaR as its performance evaluation indicators. Data studies have shown that among these eight products, the Dong Fang Hong 2, the CICC Stocks Strategy, and the Shanghai Securities Finance 1 gain the higher geometric rate of return; the Dong Fang Hong 2, the Shanghai Securities Finance 1 and the CICC Stocks Strategy gain the higher Sharpe ratio; the Dong Fang Hong 2, the Shanghai Securities Finance 1 and the CICC Stocks Strategy gain the higher M2 value; the Dong Fang Hong 2, the CICC Stocks Strategy and the Shanghai Securities Finance 1 gain a higher Sharpe ratio based on VaR. Overall, the results of these indicators measure are similar. Then, this paper show the introduction of TM and HM model which measures timing ability and selective ability. The empirical results show that among these eight financial products, only the CICC Stocks Strategy and Huatai Securities 3 show positive market timing ability, and only the CICC Stocks Strategy shows significantly positive. The remaining six products which show negative are not past the test of significance. Therefore, in the period under study, market timing ability of these eight collection asset management plans is not satisfactory. In addition, these products in the majority have some stock selective ability, but not outstanding.The empirical analysis concludes that:using the indicators of geometric average rate of return, Sharpe ratio, M2 value and Sharpe ratio based on VaR to estimate these eight financial products, measurement results show that Dong Fang Hong 2, the CICC Stocks Strategy and the Shanghai Securities Finance 1 are outstanding, and the remaining five products are relatively poor. The results of TM model and HM model testify that the investment manager's timing ability and the selective ability of these eight products really shows some positive correlation with the indicators results of these products. For example, the CICC Stocks Strategy's timing ability are relatively strong, which means its position adjustment is in a timely manner. At the same time, its performance measurement indicators are more prominent. However, regression analysis showed that the majority of the timing ability of collection asset management plans are negative, means they do not have timing ability, while their stock selective ability are positive, but not significant.That is to say, in China, the overall timing ability of collection asset management plan is poor, and stock selective ability is limited. Analysis of the causes of this phenomenon is:when the stock market faces with the unilateral drop, few products shares outstanding performance, which brings the product managers great challenges; immaturity of the domestic securities market; institutional investors in China are "herding" Obviously; increasingly stringent regulatory restrictions; broker resource constraints; unbalanced development of brokers' business.Combined with the results of the empirical analysis, this paper puts forward several proposals. Including speeding up the stock market and optimize the investment environment; to relax the system constraints; speed up the product and model innovation of collection asset management plan; accelerate the legislative process and give reasonable and effective regulation; broker must improve its investment research capability; established a set of financial performance evaluation system; investors should take the initiative to develop financial analysis ability.