A Study On TEDA Risk Budgeting Fund's Porformance Evaluation

As a kind of investment method with professional active portfolio management,increasing the asset diversification and reducing some unsystematic risk,investment funds are increasingly favored by investors.Fund management companies usually try to use various investment techniques and quantitative models when developing and designing products.Some Sino-foreign joint venture funds are more advanced and educated in the investment concept,and in the investment strategy,it has the quantitative model of the practice and trial of the past years,and it is also more innovative in the product development.Under the strong demand for more adequate risk management,the technology of "risk budgeting" has entered into the eyes of various Chinese domestic investors.For a product that claims to use risk budgeting technique to conduct performance evaluation research and dig deeper into the factors affecting its performance,it is of great significance for both Chinese investors and fund management companies.The study of this paper follows the logic of "what-why-how-to-do",combining the theory and model of fund performance evaluation,and empirically testing and analyzing the performance level and the factors affecting its performance.In the empirical study,using the sample data of different frequencies between April 2005 and December 2017,and several performance evaluation indicators,the TEDA risk budget mixed fund was evaluated.Through sorting out the investment management process of the TEDA Risk Budget Mixed Fund,the 11 factors that may affect its investment performance are summed up.Factor analysis is used to extract the "wealth factor" representing the growth of the economy and wealth,respectively.The "stock allocation factor" for stock portfolio management,the"bond allocation factor" for bond portfolio management,and the "inflation factor" for macroeconomic cost factors.The TM model and the MTV model are also combined to form a TM-MTV model for attribution analysis of fund investment performance.Through empirical research,this paper finds that the fund managers' active investment ability in portfolio management is relatively low,and makes relevant recommendations based on this issue.That is to say,the research in this paper answers the questions of what people can get out of performance level of the TEDA risk budgeting mixed fund,why such a level of performance occurs,and how to to improve and enhance its performance.