摘要
随着我国证券市场的不断发展，证券投资基金以其集腋成裘之功能、专家运营之优势、风险分散之特点在众多金融理财工具中脱颖而出，受到投资者特别是缺乏投资知识且具有强烈风险厌恶倾向的中小投资者的青睐。随着我国证券市场的发展，投资基金的数量越来越多、规模越来越大、品种越来越丰富、投资者的投资需求越来越强烈，对证券投资基金全面、合理、科学的评价就成为我国基金业健康快速发展中一个至关重要的环节。我们不但需要建立公正、权威的机构来开展，更需要在评价过程中建立一套完整、科学的体系来充分反映和描述。因此，可以说证券投资基金评价研究领域的出现是我国金融业发展到一定历史阶段的必然产物。
站在投资者的角度，从理论上来说，证券投资基金的主要投资者是那些风险规避程度高并追求稳定收益的人，他们往往缺乏科学有效的投资分析能力。通过对投资基金科学、合理的绩效分析并评价，可以为这些投资者提供有效地决策参考，倡导其进行理性投资。更重要的是，评价过程也为投资者普及了基金知识，很大程度上促进了基金信息的传播，提高了投资者信心；站在基金管理者角度，基金绩效评价能够对基金经理形成反馈与监督机制，促使其改善投资管理，提高风险控制水平及决策效率，进而完善其投资策略在市场中的适应能力；站在监管者的角度，对内是对基金经理激励作用的量化指标，对外可以制定和完善相关法律法规；站在基金业自身发展和金融市场稳定的角度，如前文所言，由于我国证券投资基金在市场中扮演着越来越重要的角色，客观公正的评价有助于建立公平、公正、公开的市场秩序。同时，由于基金掌握着重要的资金流，基金的投资走向往往诱导着市场投资热点的发展方向，通过对西方成熟市场的研究，市场新增资金主要流向评级较高的基金，因此，通过对于基金绩效评价，我们可以从侧面发现市场风险以便及时采取防范措施。
我国的证券投资基金评价体系主要是在借鉴国外先进经验和方法的基础之上建立起来的，在形式上比较接近国外的评价体系，但是，与发达国家成熟市场相比，我国的证券市场的发育状况、信息披露制度、财务制度、证券法律法规和投资者的投资理念都有显著差异。因此，如何建立科学合理的基金绩效评价体系，开发先进并符合我国市场实际情况的绩效评价方法成为我国基金领域亟待解决的问题。
完整的绩效评价体系除了绩效评价之外，还包括对绩效的归因分析，虽然绩效值可以为投资者和经营者以及监管者提供必要的决策帮助，但是孤立的绩效值并不能为我们提供基金表现影响要素的全貌。作为基金的参与者，特别是投资者与运营者，他们需要了解是哪些因素导致了基金的差异化表现，从而在基金的运营过程中做出更为科学合理的决策，同时这也对基金投资者的投资选择行为具有参考价值。
本文主体部分共分五章，从分析评价我国基金绩效入手，结合基金持续性检验和基金风格分析建立和完善了基金绩效评价体系，并对基金绩效进行了影响因素分析。
绪论部分着重介绍本文的选题背景、选题意义、研究内容与结构、论文的创新点等。
第一章为基金绩效相关理论回顾。在本章中，我们针对本文的研究内容对前人的相关研究成果进行了梳理，并对本文应用的主要方法——数据包络分析方法(DEA)的历史沿革进行了系统回顾，最后结合笔者对DEA方法的相关研究给出了该方法未来的发展趋势。
第二章主要进行我国证券投资基金绩效评价及绩效持续性检验。首先，我们系统的整理了传统的基金绩效评价方法，这其中主要包括Markowitz投资组合理论方法、资本资产定价模型方法和风险调整的基金绩效评价方法。然后，我们从基金的获利能力、风险水平、运营成本、成长能力以及获取超额收益的能力等5个方面建立了基金绩效评价的综合指标体系，并基于该体系运用基于规模收益可变的超效率DEA方法对我国72只基金在样本期间的绩效进行了评价。最后，我们以前文基金绩效评价实证结果为依据对评价期基金绩效进行了持续性检验。基金业绩持续性是着眼于基金的过去绩效与未来绩效之间关系的研究，实质上是对基金绩效是否具有可预测性的研究。因而在绩效评价之后，我们进行了绩效持续性检验。从实证结果来看，我们成功的将基于规模收益可变的超效率DEA这一评价新方法引入基金绩效评价中，同时能够在获取绩效值的过程中区分和判断出绩效值贡献源。在运用双向表法对基金绩效持续性检验后发现，我国基金整体存在绩效持续性，但是就被评价的某一只基金而言，其绩效在各期间存在很强的跳跃性，领先的基金难以保持领先优势，落后的基金可以轻易改变地位。
第三章为基金风格识别问题研究。首先，我们通过分析前人对基金风格含义的研究，结合我国的实际情况，归纳总结定义了本文中基金风格的基金含义。此后，我们分析比较了基于组合及基于回报等两种基本的基金投资风格分析方法的优缺点。基金风格识别最为重要的目的是作为基金风格是否存在漂移的判断依据。所谓基金风格漂移就是指在所研究的时域内，基金投资组合所表现出来的实际投资风格与其在基金招募书中所宣称的风格存在偏差的现象，比如在招募说明书中宣称的基金风格为价值型，却实际表现为成长型的风格，通俗的讲就是“言不符实”。我们以信息不对称理论、行为金融理论和委托代理理论作为分析研究基金投资风格漂移成因的三大理论支撑，创新性的引入基于二阶随机占优DEA方法对基金风格进行二次识别。引入全新的“模型筛”思想对基金获利能力风格与风险水平风格所表现出的特征进行识别，并应用Spearman和Pearson相关系数对这两项风格值进行相关性检验，用以判定基金风格是否存在漂移。从实证结果分析得知，在我国基金市场中，无论是成长型基金、价值型基金或平衡型基金都存在大量的风格漂移。特别是成长型基金与价值型基金，其风格漂移发生率在60%以上。同时，我们还发现基金获利能力风格值存在趋同性，这意味着投资者在选择基金时如果将注意力仅集中于收益率，则无法根据基金风格进行合理选择；风险水平风格值具有很强的差异性，可以对基金的投资风格漂移进行判断。至此，我们完成了基金绩效的评价过程。
第四章为基金结构性指标对于基金绩效的影响。本章着力研究影响基金绩效的结构性因素。我们将基金的结构性因素细化为两类：一类是基金自身的产品结构因素；一类是影响基金运营的外部环境因素。以流动性假说为理论基础，对于基金自身的结构性因素我们将研究基金规模与流动性；在外部环境方面，我们将对四个方面因素进行考察，第一是以库存周期理论为基础的我国制造业产业周期因素；其二，我们借助物理学中“承载力”概念而衍生出我国资本市场承载力及驱动力因素；其三，结合我国货币市场货币供给及货币政策来考察市场货币供给因素；最后，我们通过国际资本市场的汇率传导机制，并结合我国的实际情况，推断国际资本对我国市场影响的传导路径，因此我们考察了国际资本对我国投资市场的影响。在本章的实证部分，我们采用面板数据结合DEA方法。通过实证分析，特别是结合2011年我国基金绩效普遍较差的整体表现，我们认为，主要有以下几点原因：第一，我国的证券投资基金规模过大，风险性投资占投资组合比例过多，而我国尚不成熟的基金投资理念与基金运营管理理念还不足以支撑如此大规模的基金操作；第二，持续上升的人民币升值预期导致大量国际资本进入，流动性泛滥导致我国被迫采取紧缩性政策，直接抑制投资的供给水平；第三，一味追求股市扩容导致资本市场资金稀释作用明显，资本市场的发展速度快于宏观经济的发展速度，股市处于负载状态，且没有“血液”资金注入；第四，产业经济虽已开始复苏，但尚处于被动去库存阶段，产业行为与投资行为的时滞使得目前的行业状况并不能提振投资者信心。该部分为基金绩效外部影响因素的归因分析。
第五章为基金治理结构对基金绩效影响的分析。首先，我们对基金治理结构与公司治理结构以及契约型基金与公司型基金的进行了比较分析，并结合我国基金行业的自身特点总结了我国基金治理结构存在的问题，并提出了解决办法。其次，我们对基金公司的治理结构进行了分析。由于我国基金属于契约型基金，因此本章的理论基础为“委托——代理”理论。由于基金治理结构的特殊性，本章从基金组织的治理结构以及基金公司的治理结构两个方面，对基金治理结构如何影响基金绩效进行深入分析。基金组织的治理结构集中体现为基金持有人对基金的申购赎回操作，通过对基金份额的控制直接关系到基金公司经营效益，因此可以很大程度的影响基金绩效。而公司的治理结构我们将主要检验基金管理层的治理结构对基金绩效的影响。尽管基金经理是基金的直接运营者，但是基金公司高层的决议将对基金经理的操作产生间接影响，进而对基金绩效表现产生间接影响。可以看出，对于基金组织结构的分析属于基金治理结构的共性分析，而对于基金公司治理结构的分析则属于基金治理结构的个性分析。通过实证研究，从实证结果看，基金公司管理层对于基金绩效的影响是间接性的，影响具有弱显著性，而基金经理的个人特征对于基金的运营影响非常显著。且对于回归结果的进一步分析中我们发现，基金经理的学识即理论知识重要于其在从事基金行业之前的金融工作经验，且其掌管的基金数越多则基金绩效越差；在对基金机构投资者的实证分析过程中发现，机构投资者的市场行为与基金绩效息息相关。特别是在市场财富效应的作用下，机构投资者的逐利行为对基金的实际运营影响强烈。从另一角度看，机构投资者相对较强的信息获取能力可以在一定程度上规范了基金管理方的投资行为。该部分为基金绩效内部因素的归因分析。
在本文的结论部分将对前文的实证结论进行总结，并给出相应的政策结论。
With the continuous development of China's securities market, securityinvestment funds are becoming more and more popular. It has advantage ofaccumulated investing, expert operating, and risk dispersion. With such characteristics,the security investment funds have stood out numbers of other financial planning tools.Especially for small and medium investors of all ages who are lack of investmentknowledge and with a strong tendency of risk aversion. With the development ofChina's securities market, the number of investment funds is increasing, the scale isenlarging, and the type is diversifying. The investors have such strong demand forinvesting than ever before, so how to evaluate security investment fundscomprehensively, rationally and scientifically has become a vital link with the healthyand rapid development of China's fund industry. Not only do we need to establish fair,authoritative institutions to carry out the evaluation, we also need to establish acomplete and scientific system to fully reflect and describe the evaluation process.Therefore, we can say that the field of securities investment fund evaluation studies isthe inevitable outcome of China's financial sector development to the certainhistorical stage.
Standing on the investor's perspective, theoretically, the majority of investors ofthe security investment funds are the people who have a high degree of risk aversionand pursue the stable income. They often are lack of scientific and effectiveinvestment analysis capabilities. Through the process of investment fundsperformance analysis and evaluate scientifically and rationally, it can provideeffective decision making to the investors, that may guide them invest rationally.More important, the evaluation process is also contributed to popular fund knowledge,disseminate the fund information, and improve the confidence of investors. Standingon the point of view of the fund managers, fund performance evaluation can formatmechanisms of feedback and monitoring for the fund managers to promote theimprovement of investment management, the level of risk control anddecision-making efficiency, thus helping to improve their investment strategies havethe adapted abilities in the market. Standing on the point of view of regulators, fundsperformance evaluation are both quantitative indicators to inspire the fund managersand the standards to formulate and improve the relevant laws and regulations. Stand in the point of view of the fund industry development and financial market stability, aspreviously said in this paper, China's securities investment funds play an increasinglyimportant role in the market, objective and fair assessment helps to establish fair, justand open market order. At the same time, the funds hold the important capital flows,the funds' investment trend often induce the direction of the investing market hotspots. Through the study of the mature Western markets, the new capital mainlyflows to the higher ratings funds. Therefore, according to the funds performanceevaluation, we can find the market risk from another direction, so that we can practicepreventive measures timely.
China's securities investment funds evaluation system is established on the basisof drawing from the advanced foreign experience and methods, so the formal is veryclose to the foreign evaluation system, but compare to the mature markets ofdeveloped countries, China's securities market has significant differences on the areaof development conditions, information disclosure system, financial system, securitieslaws and regulations and the investors' investment philosophy. Therefore, how toestablish a scientific and rational fund performance evaluation system, developadvanced performance evaluation method that also should be accordance with theactual situation of China's market has become the utmost importance problems to besolved for the China's fund industry.
A complete performance evaluation system includes the performance evaluationand the performance attribution analysis. Though the performance values helpinvestors, operators and regulators to provide the necessary decisions, but isolatedperformance value can not provide us the whole picture of which elements affect thefunds performance. As the fund's participants, particularly the investors and operators,they need to understand the factors which lead to differences in performance in orderto make more scientific and rational decision-making in the operations of the fund,which also has the reference values for the investors’fund choice behavior.
In this paper, the main part is divided into five chapters. This paper begin withthe China's fund performance evaluation analysis, combining fund persistence test andfund style analysis for establishing and improving fund performance evaluationsystem. After that, we make the fund performance influencing factors analysis.
The Introduction describes the background and significance of topics, the contentstructure and basic innovation.
The first chapter reviews fund performance theories. In this chapter, we focusedon the previous research of the contents this article worked on, and systematicreviewed the history of the main method that we used in this paper, the data envelopment analysis (DEA). Finally, we gave the future development trend of DEAmethod.
In the second chapter, we evaluated the china’s investment fund performance andtested the performance persistence. First, we systematically organized traditional fundperformance evaluation methods, which included the Markowitz Theory, the methodof capital asset pricing model and risk-adjusted fund performance evaluation method.We then established a system organized with 5 fund performance evaluationindexes——the fund profitability, the risk level, the operating cost, the ability togrow and the ability of the excess return. And based on that system, we used avariable returns to scale super- efficiency DEA method to evaluate the performance of72 funds. Finally, we test the fund performance persistence based on the empiricalresults of fund performance evaluation we did in the previous text of this paper. Thefund performance persistence focused on the relationship between the fund's pastperformance and future performance, in essence, it was the fund performancepredictability studies. Thus, after the performance evaluation, we conducted aperformance persistence test. The results from the empirical point of view, wesuccessfully applied the variable returns to scale super-efficiency DEA method toevaluate the fund performance as a new method, and at the same time, we were ableto distinguish and determine the source of the performance values. After using thetwo-way table method to test the fund performance persistence, we found when thefunds are treated as a whole, the fund existed performance persistence, but when afund was treated as a single, the performance existed a strong leap during periods.That means the leading funds difficult to maintain a leading edge and the behindfunds can easily change their position.
Chapter III focused on the recognition of fund style. First, through anglicizingthe previous research on the meaning of fund style, combining with China's actualconditions, we summarized the definition of the fund of fund style in this article.Thereafter, we analyzed and compared the advantages and disadvantages between twobasic fund investment style analysis methods——the portfolio method and the returnmethod. The most important purpose of the fund style identifying was to judge theexistence of the fund style drift. The so-called fund style drift referred to a deviationphenomenon between the fund's actual investment style and the fund style thatdeclared in the recruitment book. For example, the prospectus declared the fund stylefor value; while the actual performance was growth-oriented style, such as the populartalk "words do not match reality". We applied the asymmetric information theory,behavioral finance theory and principal-agent theory as the three theoretical supports of the fund investment style drift causes. And introduced a second order stochasticdominance DEA method to identify the style as an innovation. We introduced a newidea which was called "model screening" to show the characteristics of the style offund profitability and risk level, then applied the Spearman and Pearson correlationcoefficient to these two style values for the correlation test to determine whether fundstyles existed the drift. From the empirical results that, in China's fund market, growthfunds, value funds or balanced funds all had a lot of style drift. In particular, thegrowth fund and value fund style drift occurred for more than 60%. We also foundthat the fund profitability style values existed convergence, which means when theinvestors selected the funds, and if they only put attention on the rate of return, theycan not make a reasonable choice; the style value of the risk level had a strongdifferences, which can be used as the judge of the fund's investment style drift. At thispoint, we had completed the evaluation process of the fund performance.
Chapter IV was mainly on fund structural affect indicators for the fundperformance. This chapter studied the structural factors that affect the performance ofthe fund. We would refine these structural factors into two categories: one is theproduct structure factors of the fund itself; the other is the external environmentalfactors affecting the fund's operations. Liquidity hypothesis as a theoretical basis forthe structural factors of the fund itself, we would examine fund size and liquidity; inthe external environment, we will inspect four factors, the first is the inventory cyclebased on the theory of our country factors of the manufacturing industry cycle;Second, we use the "carrying capacity" concept which was derived from the carryingcapacity of China's capital market and the driving factors in physics; Third, combinedwith the money supply and monetary policy to examine china's monetary marketmoney supply factors; by exchange rate transmission mechanism of the internationalcapital markets, combined with China's actual conditions, we inferred the conductionpath of international capital on the impact of China's market, so we investigated theimpact of the international capital of China's investment market. In the empirical partof this chapter, we use panel data DEA method. Through empirical analysis,especially combined with the general poor overall performance of our fundperformance in 2011, we believe the main following reasons: First, china's securityinvestment fund size was too large, risky investments accounted for the proportion ofportfolio excessively, while the fund investment philosophy and the operationalmanagement of the fund concept was not yet mature enough to support such a largefund operations in our country; Second, the expected rising appreciation of RMB ledto a large number of international capital entering the flood of liquidity which led the authority forced to take austerity policies, the result was the direct inhibition ofinvestment supply levels; Third, the blind pursuit of stock market expansion led to thedilution effect of capital market, capital markets developed faster than themacroeconomic development, the stock market was in the load state, and there was no"blood" money streamed into the market; Fourth, although the industrial economystarted to recover, but still in the passive of the inventory stage, industry behavior andinvestment behavior delay made the current state of the industry and boost investorconfidence. This portion was the attribution analysis of external factors that affect thefund performance.
Chapter V is about the analysis of fund governance structure impact on fundperformance. First, we carried out a comparative analysis about fund governancestructure and corporate governance structure, contract funds and corporate funds, thenwe summarized the problems of our funds’governance structure combined withchina's fund industry features, and proposed solutions. Secondly, we researched on thegovernance structure of fund companies. China's funds belongs to category of contractfunds, so this chapter basis for the "principal–agent”theory. Due to the specialty ofthe fund's governance structure, this chapter took in-depth analysis on how the fundgovernance structure affected fund performance from two aspects: the governancestructure of the fund organization and the fund's company governance structure. Thefund organization governance structure concentrated on the holders’subscription andredemption behavior; through the control of fund shares they could directly affect theoperating efficiency of fund companies, so they can put a large extent impact on fundperformance. On the company's governance structure aspect, we will examine theimpact of the fund management governance structure on fund performance. Althoughthe fund manager is the direct operator of the fund, but the resolution of the seniormanagement would have an indirect effect on the fund manager’s operation, and thushas an indirect effect on the performance of the fund. It can be seen that the analysisof the fund organization structure was the commonality analysis of fund governancestructure, and the analysis of the fund's corporate governance structure belongs to thepersonality of the fund's governance structure. Through empirical research, from theempirical results, the fund management of the company for the performance of thefund was indirectly influence with weak significant, while the fund manager'spersonal characteristics was very significant operational impact of the fund. And forthe further analysis of the regression results, we found that the fund manager'stheoretical knowledge was more important than their financial work experience priorto engaging in the fund industry, and the more funds they were in charge of, the worse the fund performed; in the empirical analysis investment funding agencies, we foundthat the market behavior of institutional investors and fund performance are closelyrelated. In particular, under the role of the market wealth effect, the profit-drivenbehavior of institutional investors had a strong impact on the actual operations of thefund. From another perspective, the institutional investors in relatively strong abilityto obtain information can standardize to some extent the investment behavior of fundmanagement. This part was the internal factors of fund performance attributionanalysis. From another perspective, the institutional investors in relatively strongability to obtain information can standardize to some extent the investment behaviorof fund management. This part was the internal factors of fund performanceattribution analysis.
The Conclusion part summarized the empirical findings of the earlier part andgave the appropriate policies.
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