The Study On Performance Of A Share Private Funds

A share private funds are derived from trust financing, expand their influence with financial management-type services, and strengthen with sunshine private funds, broker aggregation financing, fund special financing. Their size expands from 700 billions yuans in 2001 to almost 1 trillion yuans in 2007. This paper studies on performance behavior and its effects of A share private fund with data of trust investment plans (sunshine private funds) and broker aggregation financing. And the whole paper can be divided into four parts.The first part, which is also the first chapter, gives the comments on global private fund development and present situation, A share private fund development and present situation, the theoretical researchs about A share private funds. And the paper also gives the comments on the research of domestic scholars.The second part which three chapters establish the method to analyze A share private fund performance behavior. On the one hand, second part describes development of A share private funds, analyzes action groups within system innovation of A share private fund, studies institutional process of A share private fund's initiation and growth with genetic analysis and government status analysis, and get the conclusion that research subjects of A share private funds must be performance behavior and market reactions, etc. One the other hand, fund performance behavior research can be given to three aspects:performance indicators, investment features and performance persistence. We test A share performance behavior with aspects of performance indicators, investment features, performance persistence, fund manager behavior, etc.The following part is the part of empirical study. Firstly, this part tests performance indicators and finds that rank value is better than absolute value of performance indicator; Secondly, this part also tests performance persistence of A share private funds and finds that short run persistence is poor but interperiod persistence of A share privage fund performance is strong; Thirdly, the paper applies TM, HM, BM, GII, three factor, other multi-factors models and a new absolute model to test security selection ability, timing ability and investment tendency of A share private funds. The results show that A share private funds have weak security selection ability and better timing ability. The weak security selection ability is related to prudent investment of A share private funds; Then, we study A share privage fund manager's behavior. Test results means that specialization degree of fund manager's background affects private fund performance significantly; At last, we apply Monte-Carlo simulation method to simulate A share private fund performance with stochastic process model, but the result is not idealistic shows that more effective model should be chosen for Monte-Carlo simulation method.In the last part, also the last chapter, is our conclusion and suggestion part. In this section, we conclude the experimental results to describe the performance behavior of A share private funds.