Bond Fund Performance Evaluation And Empirical Study

At present, bond fund performance evaluation research, to lag behind the stock funds and mixed type fund performance evaluation research.The characteristic of bond funds, the limitation of investing securities, resulted in that the yields is less than stock funds. Most of the risk preference investors prefer investing in stock fund or directing investment. So far, most of the bond funds have listed in shorter time, less stock funds, bond funds of evaluating performance is considerable difficulty, Plus debt characteristics of various factors, such as type, maturity and credit rating, and so on. Some bonds have characteristics of derivatives, such as convertible bonds, convertible bonds have the characteristics of nonlinear and option. There are many different kinds of bonds, each bond has unique predictor of income pricing model, bond yields have incomplete model research, caused the bond performance evaluation research significantly lags behind the equity fund performance evaluation research. Correct and reasonable evaluating performance bond funds, for the healthy and stable development, of bond funds, has important theoretical and realistic significance.This article researched on fund performance evaluation and the fund rate mode of rating agency, proposes multi-factor performance evaluation model base on the basis of a risk adjusted returns, and calculates the excess yields of each bond funds, evaluates the performance of bond funds, and sorts bunds listed more than a year comparing the Milky Way three years rating, WIND rating or Market Comprehensive rating3years, finally confirmed the effective of this kind way of rating. Bond funds, investing fixed-income investments tools such as bund, bank bills, a little of capital invests in the stock market, pursuits stable income. Treasury bonds, finance bonds, corporate bonds, convertible bonds and other fixed-income investment tools influence the yield of bond funds. Considering Treasury bonds, credit spread, convertible bonds and stocks factors into bond fund performance evaluation. Bond factor considering the term structure of interest rates, rate is calculated by bond prices, Diebold and Li proved that Nelson Siegel model representing the three parameters of long term interest rates, short term interest rates and long short term spread. This article decides the three parameters as bonds of three factors. Treasury Data selecting Wind Information inter-bank bond month closing price data. First of all, with the.help of Diebold-Li two-step estimation national debt term structure of interest rates, the first step to use the Fama-Bliss method estimates discrete spot of national debt interest rates, the second step using the Panal-Data model fitting for Nelson-Siegel three factors model. Credit spreads spread to the yield of Treasury bonds and corporate bonds on the market. In addition, bond funds investment varieties include convertible bonds, and a small amount of stocks, convertible bonds, besides has the value of their bonds also contains the value of the call option. When considering these two varieties of investment, equity fund performance evaluation, using the Fama-French three factors model, the market factor, the scale factor and the value factors, bond fund performance evaluation of the influence factors of convertible bonds and stocks. With the help of MATLAB software, to get each bond funds rate constant, the excess yields, compare advantages and disadvantages, and compared with the mature rating on the market company rating results, verify the validity of the model.Foreign market research literature found that bond funds deducting transaction cost and management cost, have not obtain obvious excess return, at the same time, fund managers have the choice no timing and bonds showing strong ability. Based on bond type found in positive performance evaluation, bond funds overall investment performance conditions, namely pure debt funds and mixed bond funds mean excess yields were greater than zero, five years bond funds investment income is better than the market average. The bond funds investment yields on fixed investment tools, the pursuit of stability risk has a lot to do with lower income. Finally draw lessons from morningstar rating method and the way of galaxy securities rating of the rating, excess returns sort of domestic bond funds, and the Milky Way3years on the market ratings and ratings Wind3years, found that the results of a smaller gap shows this method in the evaluation of the performance bond funds have certain applicability and reliability. Empirical research of this paper is not base on the aspect of the bond fund manager timing ability and securities selection ability researching bond funds, but the decomposition bond funds investment varieties, through the analysis of debt maturity structure, it is concluded that the three factors that affects the Treasury yields at sight (mid long-term interest rates, interest rates, both short-term and long-term spread). Convertible bond and stock, the bond market credit spreads and so on of the main factors influencing the bond fund returns. Significantly better fitting effect coefficient, in the performance evaluation of bond funds, has a certain practicality. But using this method also has limitations, such as whether successful extracted from Treasury prices to the term structure of interest rates, depend on the number of the Treasury bond market and bond price volatility. Calculating excess return, bond funds is divided into seven factors can really all the general influence the yield of bond funds, whether to need to introduce more factors. Convertible bonds and stocks factor whether there is a better way to replace Fama-French three factors model and so on.