The Comparative Study On Performance Evaluation Methods Of Private Securities Fund

Since 2014,the domestic securities equity funds have leap-style development,the size of the sun's private securities fund size of the capital market,the rapid increase year by year.As the number of private securities funds and more and more products,from the investors point of view,especially since 2015 FOF fund rapid expansion,how to guide them to choose the right scientific performance of private securities funds,the more urgent and necessary;From the perspective of regulators,how to evaluate the performance of private securities evaluation in order to effectively regulate the steady development of the domestic capital market has a significant impact.The existing research on this area is only a simple method,lack of systematic research;This paper first re-sorted out the logic of the more traditional private performance evaluation methods and application conditions.Secondly,through the empirical analysis,this paper will compare the private securities fund's performance evaluation method at different periods by the mainstream private fund performance evaluation method,at the same time,it also analyzes the logic relation of the theory.The structure of this paper is as follows: The first chapter is the research background and meaning,the research content and the structure of this article,the main innovation.In the second chapter,the paper reviews the mainstream methods of performance evaluation of securities securities funds,points out the applicable conditions and limitations of the corresponding methods,and points out the logical main lines in the evolution of each method,so as to evaluate the performance of private securities funds of the mainstream approach more macro-system understanding.In the third chapter,the main methods of performance evaluation are divided into three categories: the classical risk adjustment performance evaluation method,the improved risk adjustment performance evaluation method,the multi-factor model,and the description of the above three evaluation methods.In the fourth chapter,the author conducts an empirical test on each of the three performance evaluation methods,and then classifies the 40 private securities funds under each evaluation index,examines the consistency of the evaluation methods in different periods,and according to the evaluation index fund sorting,correlation test,to test the synchronization of the evaluation method.The fifth chapter summarizes this article and gives constructive comments to regulators and investors.The empirical results of this paper show the correlation between the traditional method and the improved risk adjustment method.In the evaluation of the consistency of the methods of private securities funds,the evaluation methods have shown a good consistency.In the full period,the shock of the city,the improved risk adjustment method of the fund's performance evaluation of the consistency is better than the classic risk adjustment method.In the bull market,the bear market,the classic risk adjustment method to evaluate the consistency of the fund's performance is better than the improved risk adjustment method.In the aspect of correlation,the classic risk adjustment method and the improved risk adjustment method are the closest in the overall ranking of the performance evaluation of the private securities funds,followed by the shock city,the complete period,the bull market period.In addition,in the whole period,the improved risk adjustment method is better than the improved risk adjustment method.In the bear market,the above two evaluation methods are closer to correlation,and in the shock city,the bull market can not be clearly distinguished.In the multivariate model,the goodness of fit of three-factor model was significantly higher than that of single-factor model and two-factor model,which had stronger explanatory power.The empirical results of the three-factor model show that the fund managers are inclined to invest in small-cap stocks when allocating stock portfolios.There is no obvious preference for the choice of book value factors,and they are slightly biased towards growth stocks.In addition,there is not enough evidence to show that fund managers can beat the market.