| The legalization of “the fund of funds(FOFs)” was confirmed by the new edition of The People's Republic of China Securities Investment Fund Law in June 2013,However,compared to its dominant position overseas,FOFs is still in its infancy and has a lot of space to develop in China.The first batch of public FOF products in China were officially approved in September 2017,which marks the formal landing of the FOFs in China and will enter the rapid development channel.Compared with the traditional single fund,the operation pattern of the FOFs has changed radically.FOFs bundles multiple funds and is a dynamic combination of a set of funds substantially.Investing in a FOFs is equivalent to investing in multiple funds at the same time,but the cost is much lower than make portfolio by yourself.In the final analysis,an important step in the construction of the FOFs is to pick out the right subfunds.Most of the investors in our country belong to the risk aversion investors,so nvestment risk is one of the most important issues for every investor.So how to measure the risk objectively and comprehensively is the most critical factor in evaluating the performance of a single fund as well as selecting the FOFs.It is of great significance to the construction of the FOFs and the development of the future fund industry in China.This paper studies how to measure risk in an all-round way so as to further evaluate the performance of a single fund.Firstly,based on the basic requirements of the performance evaluation of the fund,we analyze the principle of performance evaluation of the DEA model.After comparing with the parameter methods,it is determined whether the nonparametric SE-DEA model is suitable for the performance evaluation of the fund.Secondly,based on the moment characteristic of the distribution of fund yield,we select the index from five dimensions: risk,input cost,income,manager's ability and fee cost.The sample fund panel data is used in the SE-DEA model with different moment risks and the out-of-sample data is used to test the effectiveness,which is to explore the effects of super high moments over four orders on the results of fund performance evaluation.Finally,according to the conclusion of mechanism analysis and empirical research,we provide suggestions from three perspectives: FOF fund builder,single fund investor and fund investment manager.According to the conclusion of mechanism analysis,the extreme risk represented by over four higher-order moments has a negligible impact on fund performance.If we want to evaluate fund performance accurately,we must establish effective measurement of risk.The empirical results are consistent with the mechanism analysis,and the effectiveness of the selection results is higher after the inclusion of ultra high moments.The ranking results of the fund performance for the investors of the FOF fund builder and the single fund have screened out the effective funds after the full consideration of all the moment risks.We further use the efficiency value and relaxation variables of the SE-DEA model to calculate the performance improvement direction of the ineffective fund,so as to provide a single fund manager with the direction and degree of performance improvement.In order to accurately evaluate the performance of the fund,the following suggestions are put forward: firstly,in the performance evaluation of the fund,the four order above the super high moment must be included in the risk assessment system.The two is the non parametric SE-DEA model which includes the various influencing factors of the single fund is proposed to use as the evaluation method. |
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