Performance Evaluation And Sustainability Study Of Securities Investment Funds

In the past 20 years,China's securities investment funds have developed rapidly,which is increasingly favored by investors,while the funds grown from scratch,the number increased quickly,and the types became more and more abundant.During which,there comes two common concern of investors,and also the most intense issue discussed by academic circle,that is,how to give an reasonable evaluation to fund performance and what will the fund performance continuity be?As for the traditional method,which is based on CAPM model,its sustainability test is based on the performance evaluation index as well.However,whether it is completely suitable for current Chinese market situation is still worth arguing,especially in the case that the doubt on market effective premise hypothesis of CAPM and the selection of benchmark has been more and more acute.Thus,this paper proposes the benchmark-free DEA method to make up for this defect furtherly.Combined with the traditional model Sharpe and Jensen,which are both mature and intuitive,according to the data of 36 funds in China from June 2016 to December 2018,this paper uses DEA method to evaluate their performance and conduct its continuity,in order to come up with a more reasonable and reliable conclusion.Among which,the period is divided into three months,six months and one year at intervals,while from June 2016 to June 2018 as an investigation period,the other as an inspection period.What's more,the fund is divided into three categories according to its type and size.All these above make it possible to explain the economic significance by DEA efficiency index.Meanwhile,we added the performance and sustainability analysis during special time(bull and bear).The main conclusions are as follows:In terms of fund performance evaluation,most funds are in a relatively ineffective situation,that may due to the uneven level of investors in our market and the lack of managers' ability.The best performed funds are bond-type and large-scale funds,among which different types of funds' performance is greatly affected by technical efficiency,and that of different sizes is strongly correlated with scale efficiency.When it comes to special period,the market competition becomes increasingly fierce in the economic upswing,stock-based and small-scale funds are more likely to obtain substantial excess returns.On the contray,when the economy is on the decline,the overall market performance declines sharply,but no matter what the environment is,the performance of bond-based and large-scale funds is the most stable.Finally,comprehensive comparison with the traditional performance evaluation methods,it is found that different angles of fund performance appraisal is not the same,use one method alone to evaluate the effect is not ideal,the DEA method combined with Sharpe,Jensen evaluation result,can significantly improve the accuracy of the results of evaluation and economic significance of explanatory,provides a good reference for investors to choose funds.In terms of fund performance sustainability research,fund performance has significant sustainability in the short-term(three months),but as the period grows,sustainability begins to weaken.During the half-year measurement period,a half period shows a certain degree of sustainability.However,under the one-year measurement period,the performance continuity is extremely insignificant.From the perspective of special period,the fund performance is sustained in the period of economic uptrend,while the economic downturn is prone to extreme ranking changes,with the sustainability become weaker.According to the comparison of the effects of three different test benchmarks,the results of the sustainability test are more optimistic based on the DEA index,while the others only show good continuous characteristics in the three-month period.Most of all,the use of DEA method for continuous testing not only has good effects,but also makes up for the gaps in the current literature research.At the same time,the research also shows that the scale efficiency and technical efficiency index can reasonably interpret the results of the continuity test based on Sharpe and Jensen index,which provides a new idea for the study of the factors affecting the sustainability of fund performance.