我国证券投资基金绩效评价及影响因素研究
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摘要
证券市场永远是一个充满着机会与风险的奇幻世界，它令不同国家、不同种族、不同信仰、不用社会阶层、不同财力的人流连忘返，驰骋期间。投机与投资的交织融合产生了证券市场操作的神韵所在。每一个人都企图探究“胜者为王”背后所蕴藏的鲜为人知的玄机。新世纪以来，我国证券市场无论是在投资品种还是总市值方面都取得了空前的发展，这令投资者有了更为自由的选择余地，也为他们构建更为科学合理的投资组合提供了必要条件。证券投资基金就是该类投资组合产品的典型代表。我国投资者特别是可用于投资资金量相对有限的中小投资者，其普遍并不具备专业的证券投资理论知识，仅仅依靠长期参与证券市场的简单经验往往产生巨额浮亏，甚或“血本无归”。这部分中小投资者数量众多，是证券市场的主要参与者，但也是强烈的风险厌恶者。基金是由基金经理及其团队负责运营，该团队拥有丰富的市场经验、专业知识以及交易技巧，能够充分的对与投资相关的影响因素进行深入的研究，以求在风险可控的条件下获取市场超额收益。与普通投资人而言，基金经理的团队化运作在投资运营过程中出现“低级错误”和“严重错误”的概率大大降低。
我国的证券投资基金市场近年来得到了长足的发展，基金发行数量屡创新高，无论是基金整体规模或单只规模都空前膨胀，基金产品的不断创新使得投资品种更为丰富，投资者对于资产保值增值的需求越发强烈，因此，我们认为能否科学、全面的对证券投资基金的运营状况进行有效评价，就成为了我国基金业能否保持健康快速发展的至关重要的环节之一。为实现这一目标，我们首先要建立一套适应我国市场的科学合理的评价体系，在该体系下可以充分反映我国证券投资市场的特点，同时，我们还希望在法律框架下，遵循市场规则的同时，能够成立一个公正、公开、权威的评级机构来履行这一职能，相较于国外发达的资本市场，目前我国的具有统一行业标准的权威评级机构尚未成立，因此，无论从市场的现实需要，或是市场构建的完整性出发，探索基金绩效评价方法都是证券投资基金研究领域必须解决并亟待解决的问题。
通过分析基金的历史业绩，我们可以对基金经理的投资操作过程作出合理的评价，通过持续性分析，我们可以检验基金的历史业绩是否具有可预测性，通过对基金绩效的归因分析，我们可以为基金管理人提供有效的业绩反馈，并帮助投资者作出科学合理的决策。
在当今世界，全球一体化成为主流趋势，这也包括基金市场在内的金融市场的“大整合”，这既为基金评价业的发展带来了契机也带来了挑战。可以说，建立科学合理的基金绩效评价体系，开发先进并符合我国市场实际情况的绩效评价方法是我国基金领域亟待解决的问题。构建完整的绩效评价体系既包括绩效评价也包括对绩效的归因分析。绩效值是投资者和管理者做决策的重要依据，但孤立应用绩效值并不能使我们获得基金表现全部信息。作为基金的参与者，无论是谁，他们都需要了解导致基金表现差异化的具体原因，以便用这些“原因”来修正基金在运营过程中带来偏差的表现，同时这也对基金投资者的投资选择行为具有参考价值。
本文按照从基金绩效评价到绩效归因分析，最后给出政策建议的研究思路，全文共分5章：
绪论部分我们着重介绍本文的选题背景，选题意义、研究内容与结构以及论文的创新点等基本要素。
第一章为基金绩效相关研究综述。在本章中，我们将系统的梳理与本文研究内容相关的国内外学着的理论研究成果，并着重介绍数据包络分析方法的主要理论模型与方法，该方法是本文应用的核心方法。本章我们注重学术成果的总结。
第二章为证券投资基金评价体系的比较研究。在本章中，我们全面的展现了国内外证券投资基金绩效评价业的发展现状，并在此基础上对未来基金绩效业的发展趋势做出一定的推测。通过对比分析，我们发现由于我国市场的发展程度、投资者的成熟度、以及信息披露制度等都与西方市场存在差距，特别是证券法律法规体系建设和行业监管体系建设与国外存在较大差异，我国基金绩效评价体系与西方发达国家的基金绩效评价体系间存在本质不同，主要表现：第一，基金评价期间长度不同。我国的评价期远短于发达国家基金评价体系的评价期长度。第二，基金评价方法不同。我国一般仅采用单一的量化方法进行评价，而发达国家一般为定量、定性的综合分析法。第三，评价模式也存在差异。我国仅有静态评价模式，而发达国家成熟体系已经发展至动态评价模式。通过以上分析，我们认为我国的基金绩效评价业无论从评价理念的发展上、评价方法的开发上还是到评价体系的建设上不仅与国外权威机构存在一定差距，且严重滞后于我国基金市场的发展，因此，集中力量建设我国自主研发的基金评价体系已经成为当务之急。
第三章为我国证券投资基金绩效评价研究。本章应用基于面板数据的规模收益可变超效率DEA方法对基金绩效进行了评价，我们建立了以基金的获利能力、风险水平、运营成本、成长能力以及获取超额收益能力为基础的评价指标体系，并在进行评价之前对收益率要素进行了降噪，避免了学术界以及业界对相关问题的争论，增强了评价的客观性和科学性，最后基于该评价体系，我国对我国市场上41只股票型基金在样本期内的绩效进行了评价。通过实证分析，应用该模型不但成功的生成了各基金的绩效值，同时实现了绩效值在模型内部的归因过程，即效率值源于投入要素的节约或产出要素的盈余。且从本文的实证分析来看，当超效率值源于产出要素的盈余时，其贡献率远大于该决策单元投入要素的节约。对于超效率值归因的区分和判断是该超效率DEA方法有别于其他DEA方法的主要特点。从绩效评价的实证结果来看，我们认为我国开放式股票型基金的运营水平已经出现了一定程度的分化。
第四章开始为基金绩效评价的归因分析。基金绩效的归因分析共分两部分，第一部分为第四章，是基金治理结构对基金绩效的影响研究，该部分侧重于基金在运营过程中所面对的外部因素的分析。在第四章中，我们以信息不对称理论、委托代理理论和不完全契约理论为基础，通过比较分析法、计量方法与博弈论方法从多个角度分析基金治理结构对于基金绩效的影响。总结了我国基金治理结构的缺陷，即我国的市场上基金管理人、持有人和托管方三方制衡的模式却并不成立，基金管理方的权力过于强势。并提出以补充投资者利益代表，清晰化发起人与管理人角色，确保其不重叠和强化基金持有人监督效力，促进托管人缺乏独立性等两个解决办法。同时发现，普通投资者持有份额的系数方向与基金绩效的超效率值呈负相关关系，我国市场存在“赎回异象”。机构投资者持有份额与基金绩效的方向上看成正相关关系。基金公司自有资金购买的份额并未表现出与基金绩效显著相关的特征。最后我们运用博弈论方法对基金持有人监督策略与基金管理人运营目标策略进行了推导分析。
第五章为基金经理择股与择时能力对基金绩效的影响研究。本章侧重于对影响基金运营过程中所面对的内部因素的分析。在本章我们回顾了经典的归因分析理论方法，并以此为基础，在借鉴了DEA方法与二阶随机占优理论，建立了一个基于二阶随机占优的规划模型，有效的生成了基金经理相对择股能力值与择时能力值。这样做不仅可以大幅的提升评价过程中的客观性，并可以在有效的生成择时择股值的同时，依据其与有效前沿面的径向距离来判断基金间择时能力与择股能力的相对强弱程度。但该模型也存在一个不足，即该模型仅能评价各基金间的相对择时能力与择股能力的强弱程度，而不能判断该基金是否确实具有择股能力与择时能力。并以此为基础，通过回归分析确定了基金经理择时与择股能力对基金绩效的影响程度与影响方向。从实证结果来看，我国的基金经理普遍不具有相对择股能力，而具有相对择时能力，且相对择时能力是影响基金绩效的主要因素，越具有择时能力的基金经理其基金绩效往往越好。最后，我们应用Spearman和Pearson相关系数对基金经理的择时能力持续性与择股能力持续性进行了检验，从检验结果上来看，我国基金的择时能力与择股能力普遍具有持续性。
在本文的结论部分将对前文的实证结论进行总结，并给出相应的政策结论。
Securities market is always a fantasy world full of opportunities and risks, whichmakes people of different countries, races, faiths, social classes, and financialresources indulge their passion. The operation charm of securities market lies in theintertwined fusion between speculation and investment. Everyone attempts to explorethe little-known mystery hides behind the "winner takes all". Since the beginning ofthe new century, China's securities market, both in investment products and the totalmarket value have achieved unprecedented development, thus investors have morefreedom of choice and necessary conditions for them to build a more scientific andrational portfolio. Securities Investment Fund is a typical representative of suchportfolio product. Our investors, particularly those small and medium-sized investorswith limited money generally do not have the professional knowledge of securitiesinvestment theory, and they only rely on the simple experience of long-termparticipation in the securities markets. Thus they tend to have a huge loss, or even"lose everything". Small and medium-sized investors are large and they are not onlythe major participants of securities market, but also participants with strong riskaversion. Fund is responsible by the fund manager and his team with a wealth ofmarket experience, expertise, and trading techniques to fully in-depth research theimpact of investment-related factors and to obtain excess return under conditions ofcontrolled risk. Team-oriented operation of the fund managers in investment andoperation process tends to reduce the probability of "a stupid mistake" and a "seriouserror" greatly compared with ordinary investors.
China's securities investment fund market has received considerabledevelopment in recent years. Funds issued record highs and both single and overallfund scale are unprecedented expansion. The innovation of fund products enrichinvestment species, which makes investors’ demand for asset preservation and appreciation more and more strongly. therefore, we believe that whether theevaluation of the operational status of the securities investment fund is scientific,comprehensive, effective, has become a vital part maintains the healthy and rapiddevelopment of the fund industry in China. To achieve this goal, we must firstestablish a scientific and reasonable evaluation system set adapted our market, whichfully reflects the characteristics of the investment in China's securities market. At thesame time, we also hope to follow the rules of the market in the legal framework, andestablish a fair, open and authoritative rating agency to perform this function. Butcompared to foreign developed capital market, China's authoritative rating agencieswith unified industry standard have not yet established. Therefore, despite of the needof market or the integrity of the market building, the explosion of fund performanceevaluation methods must be addressed in the area of securities investment funds.
By analyzing historical performance, we can make a reasonable evaluation of thefund manager's investment operation, and we can test whether the historicalperformance is predictable through continuing analysis and provide effectiveperformance feedback and help investors make scientific and rationaldecision-making through fund performance attribution analysis
In today's world, globalization has become a mainstream trend, which alsoincludes the "integration" of the financial markets. It brings the development of fundevaluation industry both opportunity and challenges. It can be said that theestablishment of a scientific and reasonable fund performance evaluation system andperformance evaluation method in accordance with China's market is our fundproblems to be solved. Build a complete performance evaluation system includesperformance evaluation and performance attribution analysis. The performance valueis an important basis for the decision of investors and managers, but the isolatedapplication performance value does not provide us all the information of fundperformance. As participants of the fund, everyone needs to know the specific reasonslead to fund performance differentiation to use these "reasons" to correct thedeviation of fund performance in the operating process, which also provides fundinvestors with reference value for investment choice.
In this paper, we investige the fund performance evaluation following performance attribution analysis, finally, the research ideas of policyrecommendations. This paper is divided into five chapters:
The introduction focuses on the basic elements of background, the significanceof topic, the research content and structure as well as innovative points of this paper.
Chapter1is related summary about fund performance research. In this chapter,we will be combing the results of theoretical studies related to this article content athome and abroad and highlight the main theoretical models and methods of dataenvelopment analysis method, which is the core method of this paper. In this chapter,we focus on the summary of academic achievements.
Chapter2compares the evaluation system of securities investment funds. In thischapter, we show a comprehensive development status of fund performanceevaluation industry of domestic and foreign, and make some speculation based onfuture trends. Through comparative analysis, we found that, due to the gap in thedevelopment of market, the maturity of investors, and the information disclosuresystem among China and Western markets, especially the large difference in theconstruction of securities laws and regulations and industry regulatory system,China’s fund performance evaluation system is essentially different from westerndeveloped countries’: first, the different lengths of fund evaluation during. Our lengthis much shorter than developed countries’. Secondly, the different methods of fundevaluation. China generally evaluates through single quantitative method butdeveloped countries generally use a more comprehensive quantitative and qualitativeanalysis. Third, there are also differences in the evaluation mode. China only usesstatic evaluation mode, while the developed countries have developed mature systemto dynamic evaluation model. Through the analysis above, we believe that there is acertain gap with foreign authorities in the development of evaluation concept, of theevaluation methods or the building evaluation system of China's fund industryperformance evaluation seriously lagging behind the development of China's fundmarket Therefore, concentrating on building our own fund evaluation system hasbecome urgent.
The third chapter is the performance evaluation of China's investment Fund. Thischapter values fund performance through the application of super-efficiency DEA based on variable returns to scale of panel data, we also establish an evaluation indexsystem based on the profitability of fund, the level of risk, operating costs, the abilityto grow and obtain excess returns and denoise before evaluation to avoid thecontroversy from academia and industry on related issues and make the evaluationmore objective and scientific. Finally, based on such evaluation system, we evaluatedthe performance of41stock funds in China in the sample period. Through empiricalanalysis, the application of the model not only successfully generates value of eachfund's performance but also achieves value attribution process in model that isefficiency value derives from the surplus of inputs and output elements. From theview of empirical analysis, when the super-efficiency value derives from the surplusof output, the contribution rate is much greater than single inputs savings. The mainfeature different from other DEA methods is Super-efficiency values attributiondistinguish and judgment. From the empirical results of the performance evaluation,we believe that our open-end funds operating level has received certaindifferentiation.
The beginning of chapter4is the attribution analysis of fund performanceevaluation. Fund performance attribution analysis is divided into two parts. The firstpart is chapter4, which analysis the impact of the governance structure on fundperformance. This part focuses on the analysis of external factors faced by funds inoperation. In chapter4, based on asymmetric information theory, principal-agenttheory and incomplete contract theory, we analysis the impact of the governancestructure on fund performance through the method of comparative analysis,quantitative method and game theory analysis. The defects of fund governancestructure, that the balance among fund manager, holder and hoster has not established,because the power of fund management side is too strong. We also propose twosolutions: the complement of investors’ interest representatives, the clarity ofpromoters and managers role to prevent overlap and strengthen fund holdersoversight effectiveness, and reduce the independence of hoster. At the same time wefind that the coefficients of ordinary investors’ share and the super-efficiency value offund performance are negatively correlated, and our market exists "redeemed vision".There is a positive correlation between the shares of institutional investors holding and fund performance. The fund company's own share dose not show significantlysuch characteristics with fund performance. Finally, we use game theory to derive thestrategy of holders’ supervision policy and fund managers’ operating objectivesstrategy.
Chapter5is to study the impact of stock selection and timing ability on fundperformance. This chapter focuses on the analysis of the internal factors faced in theprocess of fund operations. In this chapter, we review the classic theory of attributionanalysis method, and establish a planning model based on DEA method andsecond-order stochastic dominance theory which generates the value of fundsmanager relative ability of stock selection and timing effectively. In this way, we cannot only significantly enhance the objectivity of the evaluation process, but alsodetermine the relative strength of timing and stock selection ability based on radialdistance to the efficient frontier. But there is a shortage of the model, that is, themodel can not determine whether the fund indeed has stock selection and timingability but evaluate their relative strength degree. On this basis, we determined theimpact and influence direction of timing and stock selection ability on fundperformance. From empirical results, China's fund managers generally do not have arelative stock selection ability, but relative timing ability and such ability is the mainfactors affecting the performance of fund. The more timing ability of fund managers,the better fund performance. Finally, we apply the Spearman and Pearson correlationcoefficient to text the persistence of managers’ timing and stock selection ability andthe result reveal that our funds’ timing and stock selection ability are generallysustainable.
In the concluding part of this article, we will summarize the empirical resultabove and give appropriate policy conclusions.
我国的证券投资基金市场近年来得到了长足的发展，基金发行数量屡创新高，无论是基金整体规模或单只规模都空前膨胀，基金产品的不断创新使得投资品种更为丰富，投资者对于资产保值增值的需求越发强烈，因此，我们认为能否科学、全面的对证券投资基金的运营状况进行有效评价，就成为了我国基金业能否保持健康快速发展的至关重要的环节之一。为实现这一目标，我们首先要建立一套适应我国市场的科学合理的评价体系，在该体系下可以充分反映我国证券投资市场的特点，同时，我们还希望在法律框架下，遵循市场规则的同时，能够成立一个公正、公开、权威的评级机构来履行这一职能，相较于国外发达的资本市场，目前我国的具有统一行业标准的权威评级机构尚未成立，因此，无论从市场的现实需要，或是市场构建的完整性出发，探索基金绩效评价方法都是证券投资基金研究领域必须解决并亟待解决的问题。
通过分析基金的历史业绩，我们可以对基金经理的投资操作过程作出合理的评价，通过持续性分析，我们可以检验基金的历史业绩是否具有可预测性，通过对基金绩效的归因分析，我们可以为基金管理人提供有效的业绩反馈，并帮助投资者作出科学合理的决策。
在当今世界，全球一体化成为主流趋势，这也包括基金市场在内的金融市场的“大整合”，这既为基金评价业的发展带来了契机也带来了挑战。可以说，建立科学合理的基金绩效评价体系，开发先进并符合我国市场实际情况的绩效评价方法是我国基金领域亟待解决的问题。构建完整的绩效评价体系既包括绩效评价也包括对绩效的归因分析。绩效值是投资者和管理者做决策的重要依据，但孤立应用绩效值并不能使我们获得基金表现全部信息。作为基金的参与者，无论是谁，他们都需要了解导致基金表现差异化的具体原因，以便用这些“原因”来修正基金在运营过程中带来偏差的表现，同时这也对基金投资者的投资选择行为具有参考价值。
本文按照从基金绩效评价到绩效归因分析，最后给出政策建议的研究思路，全文共分5章：
绪论部分我们着重介绍本文的选题背景，选题意义、研究内容与结构以及论文的创新点等基本要素。
第一章为基金绩效相关研究综述。在本章中，我们将系统的梳理与本文研究内容相关的国内外学着的理论研究成果，并着重介绍数据包络分析方法的主要理论模型与方法，该方法是本文应用的核心方法。本章我们注重学术成果的总结。
第二章为证券投资基金评价体系的比较研究。在本章中，我们全面的展现了国内外证券投资基金绩效评价业的发展现状，并在此基础上对未来基金绩效业的发展趋势做出一定的推测。通过对比分析，我们发现由于我国市场的发展程度、投资者的成熟度、以及信息披露制度等都与西方市场存在差距，特别是证券法律法规体系建设和行业监管体系建设与国外存在较大差异，我国基金绩效评价体系与西方发达国家的基金绩效评价体系间存在本质不同，主要表现：第一，基金评价期间长度不同。我国的评价期远短于发达国家基金评价体系的评价期长度。第二，基金评价方法不同。我国一般仅采用单一的量化方法进行评价，而发达国家一般为定量、定性的综合分析法。第三，评价模式也存在差异。我国仅有静态评价模式，而发达国家成熟体系已经发展至动态评价模式。通过以上分析，我们认为我国的基金绩效评价业无论从评价理念的发展上、评价方法的开发上还是到评价体系的建设上不仅与国外权威机构存在一定差距，且严重滞后于我国基金市场的发展，因此，集中力量建设我国自主研发的基金评价体系已经成为当务之急。
第三章为我国证券投资基金绩效评价研究。本章应用基于面板数据的规模收益可变超效率DEA方法对基金绩效进行了评价，我们建立了以基金的获利能力、风险水平、运营成本、成长能力以及获取超额收益能力为基础的评价指标体系，并在进行评价之前对收益率要素进行了降噪，避免了学术界以及业界对相关问题的争论，增强了评价的客观性和科学性，最后基于该评价体系，我国对我国市场上41只股票型基金在样本期内的绩效进行了评价。通过实证分析，应用该模型不但成功的生成了各基金的绩效值，同时实现了绩效值在模型内部的归因过程，即效率值源于投入要素的节约或产出要素的盈余。且从本文的实证分析来看，当超效率值源于产出要素的盈余时，其贡献率远大于该决策单元投入要素的节约。对于超效率值归因的区分和判断是该超效率DEA方法有别于其他DEA方法的主要特点。从绩效评价的实证结果来看，我们认为我国开放式股票型基金的运营水平已经出现了一定程度的分化。
第四章开始为基金绩效评价的归因分析。基金绩效的归因分析共分两部分，第一部分为第四章，是基金治理结构对基金绩效的影响研究，该部分侧重于基金在运营过程中所面对的外部因素的分析。在第四章中，我们以信息不对称理论、委托代理理论和不完全契约理论为基础，通过比较分析法、计量方法与博弈论方法从多个角度分析基金治理结构对于基金绩效的影响。总结了我国基金治理结构的缺陷，即我国的市场上基金管理人、持有人和托管方三方制衡的模式却并不成立，基金管理方的权力过于强势。并提出以补充投资者利益代表，清晰化发起人与管理人角色，确保其不重叠和强化基金持有人监督效力，促进托管人缺乏独立性等两个解决办法。同时发现，普通投资者持有份额的系数方向与基金绩效的超效率值呈负相关关系，我国市场存在“赎回异象”。机构投资者持有份额与基金绩效的方向上看成正相关关系。基金公司自有资金购买的份额并未表现出与基金绩效显著相关的特征。最后我们运用博弈论方法对基金持有人监督策略与基金管理人运营目标策略进行了推导分析。
第五章为基金经理择股与择时能力对基金绩效的影响研究。本章侧重于对影响基金运营过程中所面对的内部因素的分析。在本章我们回顾了经典的归因分析理论方法，并以此为基础，在借鉴了DEA方法与二阶随机占优理论，建立了一个基于二阶随机占优的规划模型，有效的生成了基金经理相对择股能力值与择时能力值。这样做不仅可以大幅的提升评价过程中的客观性，并可以在有效的生成择时择股值的同时，依据其与有效前沿面的径向距离来判断基金间择时能力与择股能力的相对强弱程度。但该模型也存在一个不足，即该模型仅能评价各基金间的相对择时能力与择股能力的强弱程度，而不能判断该基金是否确实具有择股能力与择时能力。并以此为基础，通过回归分析确定了基金经理择时与择股能力对基金绩效的影响程度与影响方向。从实证结果来看，我国的基金经理普遍不具有相对择股能力，而具有相对择时能力，且相对择时能力是影响基金绩效的主要因素，越具有择时能力的基金经理其基金绩效往往越好。最后，我们应用Spearman和Pearson相关系数对基金经理的择时能力持续性与择股能力持续性进行了检验，从检验结果上来看，我国基金的择时能力与择股能力普遍具有持续性。
在本文的结论部分将对前文的实证结论进行总结，并给出相应的政策结论。
Securities market is always a fantasy world full of opportunities and risks, whichmakes people of different countries, races, faiths, social classes, and financialresources indulge their passion. The operation charm of securities market lies in theintertwined fusion between speculation and investment. Everyone attempts to explorethe little-known mystery hides behind the "winner takes all". Since the beginning ofthe new century, China's securities market, both in investment products and the totalmarket value have achieved unprecedented development, thus investors have morefreedom of choice and necessary conditions for them to build a more scientific andrational portfolio. Securities Investment Fund is a typical representative of suchportfolio product. Our investors, particularly those small and medium-sized investorswith limited money generally do not have the professional knowledge of securitiesinvestment theory, and they only rely on the simple experience of long-termparticipation in the securities markets. Thus they tend to have a huge loss, or even"lose everything". Small and medium-sized investors are large and they are not onlythe major participants of securities market, but also participants with strong riskaversion. Fund is responsible by the fund manager and his team with a wealth ofmarket experience, expertise, and trading techniques to fully in-depth research theimpact of investment-related factors and to obtain excess return under conditions ofcontrolled risk. Team-oriented operation of the fund managers in investment andoperation process tends to reduce the probability of "a stupid mistake" and a "seriouserror" greatly compared with ordinary investors.
China's securities investment fund market has received considerabledevelopment in recent years. Funds issued record highs and both single and overallfund scale are unprecedented expansion. The innovation of fund products enrichinvestment species, which makes investors’ demand for asset preservation and appreciation more and more strongly. therefore, we believe that whether theevaluation of the operational status of the securities investment fund is scientific,comprehensive, effective, has become a vital part maintains the healthy and rapiddevelopment of the fund industry in China. To achieve this goal, we must firstestablish a scientific and reasonable evaluation system set adapted our market, whichfully reflects the characteristics of the investment in China's securities market. At thesame time, we also hope to follow the rules of the market in the legal framework, andestablish a fair, open and authoritative rating agency to perform this function. Butcompared to foreign developed capital market, China's authoritative rating agencieswith unified industry standard have not yet established. Therefore, despite of the needof market or the integrity of the market building, the explosion of fund performanceevaluation methods must be addressed in the area of securities investment funds.
By analyzing historical performance, we can make a reasonable evaluation of thefund manager's investment operation, and we can test whether the historicalperformance is predictable through continuing analysis and provide effectiveperformance feedback and help investors make scientific and rationaldecision-making through fund performance attribution analysis
In today's world, globalization has become a mainstream trend, which alsoincludes the "integration" of the financial markets. It brings the development of fundevaluation industry both opportunity and challenges. It can be said that theestablishment of a scientific and reasonable fund performance evaluation system andperformance evaluation method in accordance with China's market is our fundproblems to be solved. Build a complete performance evaluation system includesperformance evaluation and performance attribution analysis. The performance valueis an important basis for the decision of investors and managers, but the isolatedapplication performance value does not provide us all the information of fundperformance. As participants of the fund, everyone needs to know the specific reasonslead to fund performance differentiation to use these "reasons" to correct thedeviation of fund performance in the operating process, which also provides fundinvestors with reference value for investment choice.
In this paper, we investige the fund performance evaluation following performance attribution analysis, finally, the research ideas of policyrecommendations. This paper is divided into five chapters:
The introduction focuses on the basic elements of background, the significanceof topic, the research content and structure as well as innovative points of this paper.
Chapter1is related summary about fund performance research. In this chapter,we will be combing the results of theoretical studies related to this article content athome and abroad and highlight the main theoretical models and methods of dataenvelopment analysis method, which is the core method of this paper. In this chapter,we focus on the summary of academic achievements.
Chapter2compares the evaluation system of securities investment funds. In thischapter, we show a comprehensive development status of fund performanceevaluation industry of domestic and foreign, and make some speculation based onfuture trends. Through comparative analysis, we found that, due to the gap in thedevelopment of market, the maturity of investors, and the information disclosuresystem among China and Western markets, especially the large difference in theconstruction of securities laws and regulations and industry regulatory system,China’s fund performance evaluation system is essentially different from westerndeveloped countries’: first, the different lengths of fund evaluation during. Our lengthis much shorter than developed countries’. Secondly, the different methods of fundevaluation. China generally evaluates through single quantitative method butdeveloped countries generally use a more comprehensive quantitative and qualitativeanalysis. Third, there are also differences in the evaluation mode. China only usesstatic evaluation mode, while the developed countries have developed mature systemto dynamic evaluation model. Through the analysis above, we believe that there is acertain gap with foreign authorities in the development of evaluation concept, of theevaluation methods or the building evaluation system of China's fund industryperformance evaluation seriously lagging behind the development of China's fundmarket Therefore, concentrating on building our own fund evaluation system hasbecome urgent.
The third chapter is the performance evaluation of China's investment Fund. Thischapter values fund performance through the application of super-efficiency DEA based on variable returns to scale of panel data, we also establish an evaluation indexsystem based on the profitability of fund, the level of risk, operating costs, the abilityto grow and obtain excess returns and denoise before evaluation to avoid thecontroversy from academia and industry on related issues and make the evaluationmore objective and scientific. Finally, based on such evaluation system, we evaluatedthe performance of41stock funds in China in the sample period. Through empiricalanalysis, the application of the model not only successfully generates value of eachfund's performance but also achieves value attribution process in model that isefficiency value derives from the surplus of inputs and output elements. From theview of empirical analysis, when the super-efficiency value derives from the surplusof output, the contribution rate is much greater than single inputs savings. The mainfeature different from other DEA methods is Super-efficiency values attributiondistinguish and judgment. From the empirical results of the performance evaluation,we believe that our open-end funds operating level has received certaindifferentiation.
The beginning of chapter4is the attribution analysis of fund performanceevaluation. Fund performance attribution analysis is divided into two parts. The firstpart is chapter4, which analysis the impact of the governance structure on fundperformance. This part focuses on the analysis of external factors faced by funds inoperation. In chapter4, based on asymmetric information theory, principal-agenttheory and incomplete contract theory, we analysis the impact of the governancestructure on fund performance through the method of comparative analysis,quantitative method and game theory analysis. The defects of fund governancestructure, that the balance among fund manager, holder and hoster has not established,because the power of fund management side is too strong. We also propose twosolutions: the complement of investors’ interest representatives, the clarity ofpromoters and managers role to prevent overlap and strengthen fund holdersoversight effectiveness, and reduce the independence of hoster. At the same time wefind that the coefficients of ordinary investors’ share and the super-efficiency value offund performance are negatively correlated, and our market exists "redeemed vision".There is a positive correlation between the shares of institutional investors holding and fund performance. The fund company's own share dose not show significantlysuch characteristics with fund performance. Finally, we use game theory to derive thestrategy of holders’ supervision policy and fund managers’ operating objectivesstrategy.
Chapter5is to study the impact of stock selection and timing ability on fundperformance. This chapter focuses on the analysis of the internal factors faced in theprocess of fund operations. In this chapter, we review the classic theory of attributionanalysis method, and establish a planning model based on DEA method andsecond-order stochastic dominance theory which generates the value of fundsmanager relative ability of stock selection and timing effectively. In this way, we cannot only significantly enhance the objectivity of the evaluation process, but alsodetermine the relative strength of timing and stock selection ability based on radialdistance to the efficient frontier. But there is a shortage of the model, that is, themodel can not determine whether the fund indeed has stock selection and timingability but evaluate their relative strength degree. On this basis, we determined theimpact and influence direction of timing and stock selection ability on fundperformance. From empirical results, China's fund managers generally do not have arelative stock selection ability, but relative timing ability and such ability is the mainfactors affecting the performance of fund. The more timing ability of fund managers,the better fund performance. Finally, we apply the Spearman and Pearson correlationcoefficient to text the persistence of managers’ timing and stock selection ability andthe result reveal that our funds’ timing and stock selection ability are generallysustainable.
In the concluding part of this article, we will summarize the empirical resultabove and give appropriate policy conclusions.
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