Empirical Research On The Performance Evaluation Of Private Fund In China

On June 1,2013,China’s new fund law was formally implemented,and private equity funds obtained a clear legal status for the first time,which opened the golden age of rapid development of the private equity fund industry.As of the end of December 2017,the scale of private equity fund management reached 11.1 trillion yuan,exceeding the scale of public fund management funds and becoming an influential institutional investor in the capital market.In the face of the ever-increasing number of private equity funds,how to scientifically evaluate the performance of private equity funds has become the topic of most concern to investors.At present,there are few institutions in China that rate the performance of private equity funds.Several minority rating agencies also have problems such as inconsistent evaluation systems and different evaluation priorities,which ultimately results in different information provided by rating agencies to investors.Even on the contrary,this affects investors’ investment decisions.Therefore,in order to protect the interests of investors,an objective,fair and reasonable private equity performance evaluation system should be established.This can not only provide investors with accurate reference information,but also encourage private equity managers to choose more reasonable investment strategies.Provide a reliable basis for supervision and regulation of private equity funds.There are various methods for the evaluation of private equity funds.This article first summarizes the internal logic of the performance evaluation literature of private equity funds,and combines the fund performance rating system of the world’s leading rating agencies to finalize the eight individual indicators of private equity fund performance evaluation.: Fund’s net return,Sharp’s index,Janssen’s index,yield variance,risk factor,continuous slope coefficient,stock selection ability index,timing ability index,etc.,then cluster these 8 indicators into profitability and risk Levels,fund sustainability,and fund managers’ competences form four secondary indicators for measuring fund performance.According to the principle of analytic hierarchy process,a three-tier performance evaluation index system for private equity funds is finally formed.In this paper,the quantitative evaluation system of private equity funds based on the combination of analytic hierarchy process and grey system analysis is studied empirically,and the robustness of different sample intervals is examined.The empirical results show that in terms of profitability,bull market,bear market and shock market During the three different phases of the study,some of the funds showed significant excess returns.In terms of risk level,except for a few mismanaged funds,the risk level of most funds is lower than the market benchmark portfolio.In terms of fund manager’s ability,most fund managers show a certain stock selection ability.However,most fund managers do not show timing ability.In terms of performance sustainability,most of the funds showed certain performance continuity during the three different inspection phases of bull market,bear market and shock market,but the sample population did not show significant performance continuity throughout the survey interval.The research in this paper broadens the breadth and depth of domestic private equity fund performance evaluation studies,and can provide references for investors,private equity funds companies,and regulatory authorities,and has certain theoretical and practical significance.The innovations of this paper mainly include the following four points: First,in the process of selecting evaluation indicators,this paper not only refers to the latest theoretical research results at home and abroad,but also draws on the fund performance evaluation system of rating agencies that currently have a certain influence in the world.The selection of evaluation indicators is more representative.Second,the current research on the performance evaluation of private equity funds mostly revolves around the analysis of scattered indicators and does not form a mature evaluation system that is widely recognized by the academic and practical sectors.This paper comprehensively considers the different evaluations of private equity funds such as earnings,risks,continuity of performance,and the ability of fund managers to select stock options,and builds a relatively complete evaluation system of private equity fund performance by selecting indicators of various abilities.The research content of the performance evaluation of private equity funds.Thirdly,in the process of weighting and modeling the evaluation system,this paper adopts a new research method—the grey system research method.This method has been widely used in the fields of enterprise evaluation,city evaluation,and research project evaluation.However,the direction of performance evaluation of private equity funds has not been used.The gray clustering method used in this paper’s gray system theory can effectively eliminate expert scoring.The contingency produced by the time has made the calculation result conform to the subjective cognition of the expert group and is more in line with the objective law.It can accurately reflect the merits of the fund’s performance and the recognition of the industry’s performance.Fourth,based on the grey system GM(1,1)model,this paper presents a simple and practical method for forecasting the future performance of private equity funds.At present,the grey system model has achieved certain results in the application of public funds,but this theory has not been used to study the future performance of private equity funds.This article consists of six parts:The first chapter is the introduction.This article mainly introduces the research background,research significance,research content,research framework,research methods and innovation.This article first elaborates the status quo of the private equity fund industry and its future development trend.It starts from the aspects of demand for private equity fund performance research and proposes the theoretical and practical significance of the topic selection.The conflict between the rapid development of private equity funds and the immature fund performance evaluation system in China has become increasingly prominent,highlighting the urgency of research and the value of research.Afterwards,the content,framework,method and technical route of this article are reviewed.The second chapter is literature review.This part first reviews the theoretical research of foreign fund performance evaluation,and summarizes the research status of foreign fund performance evaluation from three perspectives: fund performance evaluation index,fund manager stock selection timing ability and fund performance sustainability.Then,it reviews the latest literature on domestic scholar fund performance evaluation.Finally,summarizing the domestic and foreign fund performance evaluation literature.The third chapter is a comparative analysis of performance evaluation of private equity funds in domestic and foreign institutions.This chapter analyzes the current situation and future development of private equity funds both at home and abroad,and summarizes the methods and criteria for evaluating the performance of private equity funds from a number of influential domestic and international institutions.It also points out the problems and deficiencies in these evaluation systems and leads to private equity funds.Construction of Performance Evaluation Index System.Chapter IV Performance Evaluation System of Private Equity Funds.Combining the literature review in chapter two and chapter three,the domestic and foreign institutions’ performance evaluation system for private equity funds,a comprehensive index system for the performance evaluation of private equity funds suitable for the domestic market is constructed.Next,it introduces the application of AHP and grey system theory,and uses the AHP method to assign weights to the indicators of the newly-established private equity fund performance evaluation system.Chapter 5 is an empirical study.This section empirically analyzes the four aspects of the performance of 78 sample funds,including their profitability,risk level,fund managers’ time-selection ability,and fund performance sustainability.And by comparing with the single evaluation index calculated by the model,the reliability and practicability of the model are verified.The sixth chapter is the research conclusion and research prospect.This section will objectively evaluate the private equity performance evaluation index and comprehensive evaluation model constructed in this paper,and draw conclusions from the four aspects of profitability,risk level,ability of fund managers to select stocks,and fund performance sustainability.The deficiencies and limitations of the research will also be involved in this section.This section also looks forward to the development of the private equity fund industry and the research results of this article.