The Research On Performance And Risk Of Fund Family And The Relevant Relationships

In recent years, Chinese fund industry has made rapid development, and fundfamily has become the most important existing form in the fund industry. It gets moreand more extensive attention and becomes a hot issue. The relationships among fundfamily members are complicated, both competition and cooperation, which increasingthe average income and the market volatility of fund market. The overall performanceand risk of fund family are concentrated expression of benefit to all the investors of thefund family. On one hand, single fund as a member of the family fund, its performanceand risk condition are influenced by fund family. On the other hand, family performanceand risk will affect investors’ cognition to single fund and affect investors’ decision-making. The investment style and shareholding structure of the fund family have asignificant influence on performance and risk. Thus, the research on performance andrisk of fund family and their relationship has important theoretical and practicalsignificance.In view of the current fund research, only based on single fund levels of fu ndperformance and fund risk are one-sided and limited, and studies on the relationshipbetween fund performance and risk are few. This dissertation studies on fund familyperformance and risk, the influence of investment style drift and shareholding structureon both fund family performance and risk, and the relationship between them. The mainresearch contents are as follows:Firstly, this dissertation analyzes the related theories, makes qualitative analysisabout fund and fund family’ related basic theory, including the basic concepts,performance evaluation related theories of Capital Asset Pricing theory, ArbitragePricing theory, Data Envelopment Analysis theory, and risk analysis related theories ofInformation Asymmetry theory, Principal-Agent theory, Limited Rational theory andPortfolio theory. All these lay foundation for the research about family fundperformance and risk. Secondly, this dissertation selects31fund families comprised by96funds established before January1,2006, adopting super-efficiency DEA model toevaluate fund family performance by taking initial unit net value, unit operating costs,yield standard deviation as the input variables, and taking the net value growth rate, theaverage yield and the Sharpe ratio as the output variables; according to the idea ofportfolio, this dissertation combines the advantage of multivariate t-Copula joint distribution with VaR risk measure method and builds a t-Copula-VaR model to metricfund family risk; After that, this dissertation adopt SDS method to measure investmentstyle drift degree, then use the results to analysis the effect of investment style drift tofund family performance and risk; and then analyse the effect of fund managementcompany’s ownership structure to fund family performance and risk by constructingcross-section regression models; consider the influence of different economic situation,regression analysis method is applied to analyse the relationship between family fundperformance and risk. Finally, summarize fund family development problems and futuredevelopment tendency, and put forward three innovation strategies to the furtherdevelopment of China’s fund family.The empirical results of fund family performance shows that there is a wide gapbetween the performances of fund families during the evaluation period, and most of thefund families is in an invalid state, and fund families do not show the samecharacteristics about the consistency of performance; In the fund family risk study, theresults of non-normality and non-linear correlation matrix calculated by multivariatet-Copula function shows that strong relationship exists among the inner members of thesame fund family, and for a fund family, the number of fund has no significant impacton the total risk value of the fund family; The impact of fund family investment styledrift on fund family performance and risk studies shown that the fund family’sinvestment style drifted greatly, the correlation between it and fund family performanceis negative, and with the family risk level is positively related, and fund familyperformance and risk are obvious persistent; And it is shown that the relationshipsbetween fund management company’s ownership structure and fund family performanceand risk present to be “U”, in addition, the enhancement of the control of the first bigshareholder as well as the introduction of foreign capital will improve the performanceof fund family, but also will make fund family face greater risk; The fund family riskand performance relationship research shows that under different economiccircumstances the relationships are different. Fund family performance and fund familyrisk were negatively related before and during the financial crisis while they are notsignificantly related after the financial crisis.