Research On The Impact Of Macroeconomic Risks On The Performance Of Sunshine Private Funds

With the continuous development and innovation of China’s market economy,especially in 2013,the Sunshine Private Fund was formally incorporated into the newly revised Fund Law and the Fund Industry Association’s filing system for Sunshine Private Fund in 2014.The number of Sunshine Private Funds,the scale of the fundraising,There has been an amazing spurt of growth in the investor community.In recent years,along with the rapid development of the Sunshine Private Fund,its performance has been recognized by the majority of investors,and it is also the most concerned by investors.Therefore,it is necessary to find out which factors can affect the performance of Sunshine Private Fund,and what factors can be considered when investors choose Sunshine Private Fund for investment.Whether it is theoretical research or practical operation,the analysis and research of these factors are more Significance.Due to the late development of China’s Sunshine Private Fund,there is not much research on the private equity fund in China’s academic circles.Most of the research on Sunshine Private Fund mainly focuses on the theoretical discussion of fund issuance mode and legal boundary,and the characteristics of Sunshine Private Fund Manager(stock picking ability and timing ability),simply use the traditional three major performance evaluation indexes(Sharp Index,Jensen Index,Treynor Index)on the performance evaluation of Sunshine Private Fund.However,what are the reasons for the differences in the performance of the Sunshine Private Fund?In addition to the characteristics of fund managers and performance evaluation indexes,what factors affect the income of Sunshine Private Fund,and there are few related research on these issues.with this question,the paper studies the factors affecting the performance of Sunshine Private Fund and finds that macroeconomic risks can affect the performance of Sunshine Private Fund to a certain extent.Unexpected changes in macroeconomic variables can have an impact on the company’s fundamentals,such as cash flow,risk-adjusted discount factors,and investment opportunities.Fluctuations in macroeconomic variables such as economic growth,inflation,exchange rates,interest rates,currency volumes,and unemployment rates can have a significant impact on the price of risky assets such as stocks,bonds,currencies,and derivatives.If Sunshine Private Fund actively seeks opportunities arising from changes in the macroeconomic environment,the performance of Sunshine Private Funds that invest in these securities will be affected by the extent to which their major economic indicators change.The macroeconomic variables considered in this paper include industrial value added growth rate,inflation rate,M2 currency growth rate,interest rate changes,exchange rate changes,and total retail sales of consumer goods growth rate.This paper uses the time-varying conditional volatility of macroeconomic variables to quantify this risk and attempts to determine the extent of exposure to this risk to explain the cross-sectional dispersion of Sunshine Equity performance.The specific research steps are as follows:Firstly,based on the threshold generalized autoregressive conditional heteroscedasticity model to estimate the time-varying conditional volatility of the above economic indicators,the quantitative index of macroeconomic risk is generated,which allows the asymmetric response of volatility to economic environment changes.Then,based on the high correlation of many variable volatility indicators in these macroeconomic variables,in order to fully capture the common changes between economic uncertainty related factors,this paper uses principal component analysis to extract the principal components and synthesize a wide of macroeconomic fluctuations’ indicator.Then,according to the capital asset pricing model,under the fixed estimation window of 36 months,the monthly rolling regression method is used to estimate the macroeconomic indicator uncertainty β of each fund in the sample.Finally,a significant test of these uncertainties in predicting the performance of sunshine private funds.In addition to macroeconomic risk indicators,we also use control variables to exclude interference from other risks.After establishing a regression model with control variables,we test the performance of macroeconomic risks affecting the performance of Sunshine Private Fund.This paper finds that there is a significant positive correlation between macroeconomic risk and the performance of the Sunshine Private Fund.The main innovations of this article:(1)Although the Sunshine Private Fund was born in 2004,with nearly 14 years of rapid development,compared with the large amount of research on public funds,the academic research literature on Sunshine Private Fund is relatively small,and most of the research on Sunshine Private Fund Mainly focused on theoretical discussions such as fund issuance model and legal boundary,Sunshine private fund manager characteristics(stock picking ability and timing ability),and simply using the traditional three major performance evaluation indexes(Sharp Index,Jensen Index,Treynor Index)on the performance evaluation of Sunshine Private Fund.From the perspective of macroeconomic risks,this paper may be the biggest innovation in this paper.(2)In the past,due to the small sample size of the Sunshine Private Fund and the difficulty in data collection,there were not many empirical analyses on the performance of the Sunshine Private Fund,and the sample size was small and the time period was short,which could not fully reflect the difference in the fund’s rise and fall under the market.In recent years,especially since the fund industry association implemented the filing system for the Sunshine Private Fund in 2014,the number of Sunshine Private Funds,the size of the fundraising,and the investor group all showed phenomenal rapid growth.The excess return rate data of the Sunshine Private Fund used in this paper mainly comes from the Wind database.Compared with other databases,the data of the Wind Database is relatively complete,and the empirical test cycle from January 2012 to December 2017,the capital market experience during the past six years.A relatively complete economic trend,such as rising,volatility,and decline,has also taken into account the large number of selected private equity funds.The main shortcomings of this article:(1)Because the information disclosure requirements of Sunshine Private Fund are not strict,the fund information obtained is not very complete.This paper cannot add fund characteristics such as fund size,fund fee,minimum investment amount and fund closure period as control variables to the empirical evidence.In the research,it needs to be further improved in this respect.(2)Compared with the development of foreign hedge funds for nearly half a century,compared with the large number of researchable samples,the research in this paper has the problems of shorter sample period and less sample size.