Study On Performance Evaluation Of Open-end Securities Investment Fund In China

Chinese securities investment fund market has been developing for 20 years,since the birth of the first securities investment fund.It has achieved rapid development in quantity and scale,providing a solid foundation for stable development of capital market.However,compared with the developed markets,control of Chinese securities investment fund to the securities market needs to be improved.To achieve the comprehensive development of the securities investment fund,one of the core is to build a solid and effective market credit system,which is inseparate with the establishment of the comprehensive evaluation mechanism of fund.Therefore this paper explores a comprehensive,objective and scientific fund performance evaluation system.In the part of theoretical research,firstly,this paper analyzes the research of fund’s performance research home and abroad,from the single factor model of risk income,fund manager’s ability model,multi-factor model,multivariate statistical model,data envelopment analysis.Secondly,this paper makes a detailed analysis of the classic fund performance indicators.This paper analyzes the Treynor index,Sharpe index,Jensen index,Sortino ratio and information ratio.And the theory of calculating the timing index and stock selection index were analyzed,such as T-M model,H-M model,C-L model,Fama-French three factor model and Carhart four factor model.Finally,by analyzing the VaR model,factor analysis method and super-efficiency DEA model,the empirical model of "VaR + Factor analysis + Super Efficiency DEA" was constructed.In the part of empirical research,firstly,this paper improves the risk measurement method of the traditional performance evaluation method,introduces the VaR model to measure the risk of the sample funds.Through the sample funds’ risk measurment,this paper finds that the mean value of shock period’s funds,the strong period’s funds and weak period’s funds is 0.0527,0.1137 and 0.0724 respectively.And we can find that the highest of value is strong period’s funds,weak period’s funds are followed,and the lowest of value is shock period’s funds.In addition,the Sharpe index was improved using the VaR’s value and the performance ranking of sample funds was improved by the improved Sharpe index.Secondly,the factor analysis method is used to deal with the index system selection in this paper.After the factor analysis,input indexes can be divided into five categories: the risk measurement index,the risk-profit measurement index,the stock selection ability and market timing ability measurement index,the cost measurement index and the fund structural measurement index.The factor score of the sample funds can be calculated by factor analysis method,and we can evaluate performance of the different types of sample funds according to the factor score.Thirdly,the input-output data derived from the factor analysis are introduced into the super-efficient DEA model.The performance evaluation of the samples is carried out by calculating the efficiency values.According to the results of the efficiency calculation,technical inefficiency is account for funds’ inefficiency.Based on stochastic frontier analysis inefficient funds can be improve through the structural factors and stock selection factors.The comprehensive performance ranking analysis shows that the type of fund and investment style exerts no significant effect on overall performance of sample funds.Finally,this paper analyzes the performance persistence of different periods of sample funds.Empirical results show that from the shock period to the strong period,persistence of sample funds performance is weak.From the strong period to the weak period,fund performance exist no performance continuity,but shows a strong performance reversal.