Research On The Performance Of China’s Open Equity Fund

As China’s open-end stock-based securities investment funds continue to grow and develop,they have become one of the most important institutional investors in the capital market.Generally,investors will invest funds in funds with excellent historical performance,but What is the performance of the fund in the future? To this end,it is necessary to construct a reasonable and scientific gold performance evaluation system.This paper uses the Super-SBM model in the DEA model to evaluate the performance of the fund,and evaluates the performance of the fund by establishing reasonable input and output indicators.Based on this,this paper mainly studies the following aspects: On the one hand,the risk value VaR of the fund is calculated by the GARCH model,so that the risk of loss of the fund is more reasonably measured,and the VaR is adjusted by replacing the standard deviation in the Sharpe ratio with VaR.The latter Sharpe ratio is used to measure the excess return of unit loss risk.On the other hand,construct a reasonable input-output indicator,using VaR and standard deviation as the input risk factors;use the purchase and redemption rates as the input rate factor;and use stock concentration and industry concentration as the input asset allocation.Factor;the unit net value logarithmic income growth rate and the VaR adjusted Sharp ratio as output indicators.The Super-SBM model in the DEA model was used for analysis and compared with the BCC model in the DEA model.In order to enhance the effectiveness of the indicator,the sample fund selects 50 representative open-end equity funds.This paper sets the evaluation period to 2015-2017 and uses the data from 2016-2018 to predict the performance of 2019.The main conclusions of this paper are as follows:(1)First,the data envelopment analysis method(DEA)is more suitable for analyzing the performance of funds thanthe traditional evaluation method.(2)Compared with the BCC model,the Super-SBM model effectively distinguishes funds with the same efficiency value under the BCC model.(3)Relatively invalid funds can be relatively effective through improvement.(4)According to the results of 2015-2017 data,the open-end equity fund China Resources Yuan Da Fu Shi China A50,BOC China Securities,ICBC Global Select Stock(QDII),GF China 500 ETF,Yinhua Global The 7 funds(QDII-LOF),Yuanxin Yongfeng Youjia Life,and Boss S&P 500 ETF are relatively effective,and they also reach an effective state during the forecast period.In general,they are more stable,and investors can choose their own reference according to their own needs.The innovation of this paper is: First,the Sharpe ratio adjusted by the risk value VaR is used as the output index.Thirdly,the Super-SBM model is used to construct indicators for analysis,which solves the redundancy problem,and also solves the problem that the conventional DEA efficiency model cannot distinguish multiple funds with efficiency value 1.