Study On Market Timing Of Private Equity Fund And Timing Strategy Design

The timing ablilty of private equity funds refers to the ability of fund managers to predict the overall market trend,that is,whether fund managers can correctly forecast market movements and adjust their investment portfolios with a view to achieving better returns under different market conditions.The timing strategy is to predict market changes through certain methods and seize the opportunity to enter and exit the market to optimize the asset allocation process.Market state transition is an important issue that fund managers must consider when timing.Under different market conditions,investors should adopt different investment strategies,especially when the market state changes,how to grasp the market state transition timing Adapting investment strategies to improve the performance of private equity funds and reduce investment risks is of great theoretical and practical significance.In practice,private equity fund managers,especially fund managers who adopt macro strategies,need to respond to changes in the macroeconomic environment in a timely manner and adjust the portfolio.In this paper,Markov state transition model is used to identify the market state transition,and on the basis of it,the market timing ability of private equity fund managers is studied.Using the T-M expansion model to study the liquidity timing of private equity fund managers.Finally,a timing strategy based on Hidden Markov Model was constructed,and the timing effect of the strategy was simulated.The impact of the subjective judgment of private equity managers on investment efficiency was analyzed using the Black-Litterman model.Modeling methods are used to introduce investors' subjective judgments into the model,and then analyze the impact of investors' subjective judgments on investment strategies,which will promote the further improvement of investment decision-making efficiency.Main research conclusions:1.Private equity funds have strong market timing ability,but their timing ability shows asymmetry.Based on the Markoff state transition model of state recognition,we found that private equity funds in the bull and bear market are "high yield,low volatility and low yield and high volatility" of two states,in low earnings,it is also be able to maintain positive earnings(non negative earnings),indicating controlling the risk of ability of private equity funds on the whole.After the timing ability of private equity funds with different strategies be tested,it is found that private equity funds have stronger timing ability in bull market turning to bear market,and in turn,the timing ability is poor.2.Private equity funds generally exhibit significant liquidity timing ability,but liquidity timing ability differs greatly between different strategies.This paper examines the liquidity timing ability of private funds through the T-M expansion model,and it finds that the private fund has a significant liquidity timing ability.In different strategies,private placement,arbitrage,multi strategy,fund of funds strategy showed significant positive liquidity timing ability,and the results are robust;Equity-Oriented,long and short positions,macro and market neutral strategy shows significant negative liquidity timing ability.3.The timing strategy constructed based on Hidden Markov Model and Black-Litterman Model has a very good market simulation performance.Based on the hidden Markov model(HMM)and Black-Litterman model to construct private fund timing strategy,two models are essentially through the probability to predict the future trend of the market.The results show that two kinds of simulation strategy can obtain excess returns,it has better performance in the bear market than in the bull market,so it has the maneuverability and practical significance.The innovations of this paper are as follows:Firstly,the timing ability of state transition is tested according to the different state of private equity returns,which provides a new perspective for the study of timing theory.Secondly,this article uses the macroeconomic leading economic indicators to predict the return of assets as a subjective point of view,introducing the Black-Litterman model,and on this basis,designs the timing strategy,to play a certain role in promoting the timing of private equity fund research.Finally,the timing strategy based on hidden Markov model constructed in this paper has a significant simulation effect and has a good practical application value.