63证券投资基金业绩评价理论及实证分析

2003/78%TheoriesandCaseAnalysisofPerformanceEvaluationonSecuritiesInvestmentFundABSTRACTWiththerapiddevelopmentofsecurityinvestmentfundinrecentyears,theperformanceevaluationoffundinourcountryalsogrowsveryfast.Buttheevaluationmethodismainlyfocusedontheriseoffundperformanceandcanonlyprovidesimpleranksofthefund.Itisfarfromtheneedsoftheinvestors.Toestablishascientificandreasonablefundevaluationsystemhasbecomeoneofthethreemeasuresthatchinasecuritiessurveillancecommitteeusedtopromotethedevelopmentoffund.Themarketurgentlycallsforsomethingbetterthanthesimpleevaluationmethodwhichbasedsolelyonnetasset,itcallsformoreconsiderationonthesustainabilityofthefund’sperformance,andhowtobreakdownfund’sprofitability,sothattodigoutmoreusefulinformationtodirectfundinvestment.Therefore,thisarticlestressesoncaseanalysisonsustainabilityoffundperformance,andstrategicallocationabilityofassetinbreakingdownfund’sprofitability.Thefirsttwochaptersintroducesomebasicknowledgeonfundinvestment,andmakeareviewofsometheoriesandtheirapplicationsinfundperformanceevaluationglobally,anddescribeindetailaboutthefundevaluationsystemofMorningStarinUSA.MorningStaristhemostfamousconsultingcompanyonmutualfundevaluationintheworld,withahighauthorityinmutualfundevaluation.BasedonfundevaluationsystemofMorningStar,aframeworkofperformanceevaluationonsecuritiesinvestmentfundinChinaisbuiltinChapter3.Itquantifiesfund’sperformancebyprovidingsomeindexesoninvestmentreturn,operationabilityandoperationefficiency.Asacomplementtothequantitativeindexes,italsousessomequalitativeindexessuchasfundintensity,fundmanagementandmarketing,fundmanagerandfundproductfeatures.Afterbuildinguptheframeworkofourfundperformanceevaluationsystem,acasestudyoffundperformancesustainabilityisconductedinchapter4.Studyonfundperformancesustainabilitysolvesproblemsofthepredictabilityonfund’searning/loss.Inasense,fundperformanceevaluationonlymakessensewhenitissustainable.Forafundwithsustainability,itshistoryperformancetellsitsfutureperformance,thusfundinvestorscanchoosefundsbasedonthis.Throughthecasestudy,weconcludethat,theshorttimeperformancerankingdoesn’thavesustainability,sotheshorttimefundperformanceranking,especiallyweeklyranking,ismeaninglessforinvestment.Inchapter5,weconductacasestudyonthestrategicallocationabilityofasset.Ourconclusionis,historically,morethan78%offund’snetassetchangeoverdifferentseasonscanbeexplainedbyallocationfactorsoffund’sstrategicasset,thismeansthefundstockinvestmentrationcontrolisanimportantachievementfactor.ItisacomplexsystematicprojecttobuildupChina’sfundperformanceevaluationsystem,itrequiresteamworkandpersistenteffortfromoursecuritiesresearchersandotherstaff.IhopetheresearchinthisarticlecouldcontributealittlebitforthedevelopmentofChina’sfundindustry.KEYWORDSsecuritiesinvestmentfund,performanceevaluation,strategicallocationofasset,performancesustainability20041911.11.1.1“”“”“”1.1.2ØØØØ2Ø1.1.3ØØ“”Ø3“”1.2198719911990-19921991101997111.2.1“”19922278100285021243200031.751.094“8080”1.2.21997114199832720“”“”[1]110199832720“”“”3“”“”“”32019995520“”“”“”“”“”101002“”“”2219996154530“”“”“”927430“”“”“”“”“”3[1]199910“”“”“”11112000102000103356233847.351.675%,4.842%420018175QFII1.3,,,6,?20031TA23200380%MorningStar128Admati1986T—M1998[6]200051998109—19996305[7]2001H—MT—M101999514—200192920022219991231—2001929[8]20022.22.2.1Moody901001000700015000030009AAAAAABBBBBB2.2.2StandardPoors15002.2.3MorningStar[9]199595%2.32.3.11(Disciplines)(Philosophy)(Styles)(Process)[10]()12103()4510(25%22.5%22.5%20%10%)1432“”(Backwardlooking)1(MorningstarReturn)12(,)efRRMAXRR=epfRRR=-1ReReR2RpRfR111112(MorningstarRisk)e34ˆRRR=(,0)ˆpfeMINRRRN-=∑3ReˆR4RN11131R3R2-112%1-1010-32.532.5-67.567.5-9090-10033510(3510)20A53AA2.3.21335102133“”2.3.3123452000523145––103.13.1.11-11ttttNAVDRNAV+=-tRttNAVt-1tNAVt-1tDttR115234[11]20005235232(mR)mR19971180mR-1-1IndexIndexttRmtIndext-=Rmt—ttIndex—t1tIndex-—(t-1)A3(fR)fR3fR1fR163.1.21ss168%2bbbbpb1,Ppb1,Ppb=1,P32R2R2R013.1.3/1SharppfppRRSd-=pRfRpdpRSharppS2Treynor17pfppRRTb-=pbTreynorpTTreynorSharpbsTreynorbTreynorSharpeSharpeTreynor3JensenJensen[()]ppfpmfJRRRRb=-+-mRJensenpJpJpJ3.2ØØ18Ø10Ø3-13-1Fig3-1Fundachievementconstitutiondiagram3-23-2Fig3-2Fundachievementdecompositionflowchart1912TMHM23.2.1AssetAllocation,91.5Ibbotson,R.G.,P.D.Kaplan(2000)[12]945890401001a1-amRfRPR(1)mfPRRRaa=×+-×24/1,1(1)1NNNjiijAPRPR=⎡⎤=+-⎢⎥⎣⎦∏201,NiAPRiNjiPRij3.2.21ii,1,2iMa=LAiRIR1MiiiIRRa==×∑(2)4/1,1(1)1NnNNiinniIRAIRW=⎡⎤=+-⎢⎥⎣⎦∏1,NiAIRiNniIRijniWin3.2.3121ØØØØ2Ø=/Ø3iaiRSR101iiiSRRa==×∑4221,4/1[(1)]1nNNNiinniSRASRW==+-∏1,NiASRiNniSRinniWin3.2.4Farma1972T—M(TreynorandMazuy,1966)H—M(HenrikssonandMerton[13],1981)1T—MTreynor&Mazuy1966a2b212-(-)(-)ptftmtftmtftptRRRRRRabbe=+×+×+ptRtftRtmtRt1ba2bpte,aa2b0,,2b2H—MHenrikssonandMerton198112-(-)(-)ptftmtftmtftptRRRRRRDabbe=+×+××+DmtRftRD=1mtRftRD=02b3.3233.3.1bb1/b“”3.3.2ABABABA,,3.412423()425/4.1Hendricks,Patel[14],Zeckhauser1993“hothand”“”19741988165sharpeJensen44,“Icyhand”Goetzmann[15]Ibbotson(1994)197619885536026037013340%BrownS.&G