Evaluation And Empirical Research On The Investment Ability Of Equity Public Fund Managers

Public offering of securities investment fund industry has been more than 20 years since its launch in 1998,with the continuous development of China's capital market,the scale of securities investment fund expanding day by day.Public funds become one of the most influential role in China's securities market.With the high-speed development of fund industry,the number of fund products is increasing,as well as the scale of funds,the number of portfolio manager is also rising.Investors have a more and more adequate understanding of fund products,individual investor's choice of fund products are no longer limited to the choice of fund companies,fund managers' personal influence plays a more and more important role.Whether it is the problem of fund selection faced by investors,the problem of talent selection and personnel management faced by fund companies,or the problem of asset allocation of FOF fund,there is much more need to research the investment ability of fund managers,the need to compare and evaluate the investment capabilities of fund managers is increasing.Just under such a background of the rapid development of the funds industry,this paper studies the investment ability of equity fund managers combining with the actual requirements,and constructs the evaluation and comparison model of equity fund managers to provide reference for investment and management.This paper mainly carries out the following research work:This paper studies the development and application of the traditional performance evaluation index of securities investment fund,and sorts out other commonly used performance evaluation index of fund.Three classic index based on different models,select the different risk reference standard,compared with the simple return on investment,the risk factors included in the scope of evaluation is more comprehensive and objective.This paper has carried on the multi-dimensional index research,the sample products selected from those managers with a certain span of management time and products with a certain size difference.By studying the risk and return of the sample products under different measures,it is found that the Jensen ratio and Sharpe ratio measured by month can well describe the management ability of equity fund managers.It is found in the continuous test of investment performance by Jensen ratio and cross section regression method that the long-term investment performance of equity fund managers is significant,the long-term investment performance can be used as a reference for future investment decisions.In the individual study of equity fund managers,the Brinson performance attribution model can be used to decompose the excess returns of portfolio into asset allocation effect,stock selection effect and interactive return effect.From the perspective of income contribution,the stock selection ability and industry allocation ability of equity fund managers can be deeply explored.T-M model is used to study the timing ability and stock selection ability of equity fund managers,it is found that equity fund managers have strong stock selection ability when managing equity products with high risk return level,but most equity fund managers are difficult to show strong timing ability,and the difference in timing ability of different equity fund managers is greater than the difference in stock selection ability.In terms of adaptability of investment ability,the performance of investment ability of equity fund managers varies under different market conditions.The excess returns obtained in the falling market are more significant than other market environments,but the performance of stock selection ability is more differentiated,equity fund managers have the weakest timing ability in volatile markets.This paper studies the investment style and personal characteristics of equity fund managers.In terms of investment style,the combination adjustment of positions with the fluctuations of the market has high collaborative,but with the combination of excess returns showed no apparent correlation when equity fund manager manages equity products with high risk return level.The high turnover rate of equity fund managers is negatively correlated with the portfolio performance,and in the range of moderate concentration,the lower concentration is more conducive to the acquisition of excess returns of the portfolio.In terms of personal characteristics of equity fund managers,multiple linear regression analysis is used to investigate the correlation between gender?education?background?investment years?management experience and investment performance,using Sharpe ratio and Jensen ratio as performance evaluation indexes.It is found that equity fund managers generally have a good education background,there is no obvious correlation between fund managers' education and investment performance,male fund managers perform better than female fund managers.There is an obvious positive correlation between the management scale ?investment years and investment performance of equity fund managers,the longer investment years and the larger assets under management,the richer experience they can accumulate,and the stronger investment ability they are.In order to solve the problem of evaluating and comparing equity fund managers,this paper has carried on the multi-dimensional research on equity fund managers' investment performance,like investment continuity,stock selection ability,timing ability,investment adaptability,investment style,personal characteristics and so on.A multi-level scoring model and a multi-factor scoring model were constructed by combining qualitative and quantitative methods,effective evaluation factors are selected based on research results.By comparing and analyzing the two scoring models after adjustment and optimization,it is found that the information overlap caused by too many factors and the information loss caused by the reduction of factors will have a certain impact on the effect of the model,and the nine-factor scoring model has the best effect among the selected multi-factor models.In practice,when we faced with the comparison of investment capability of multiple equity fund managers,this model can be used for quantitative scoring and providing reference for decision making.