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Treynor & Mazuy (1966) first proposed the quadratic model (TM model) can be used to test the timing ability of fund managers. Timing ability is risky assets fund managers forecast earnings higher or lower than the capacity of risk-free interest rate. Heriksson & Merton (1981) have proposed an increase in the CPAM model a binomial random variable, called the double-β model (HM model). Bhattacharya & Pfleiderer (1983) on the HM model studies have shown that the improved model through their fund managers can determine whether the correct use of the correct information. Connor & Kora jczyk (1991) research shows that the fund portfolio and the market rate of return between the co-skewness (Co-skewness) when, TM and HM models will get the wrong conclusions. Grinblatt & Titman (1989,1994) for this proposed PositivePeriodWeightingMeasure (PPW) model, this model by calculating the excess return during the period the weighted rate of return, given the stock selection and market timing ability of the comprehensive test results. In addition, Chang & Lewellen (1984) APT model is proposed based on a new test method. The introduction of variable β1 and β2, by calculating the difference between them to determine the asset manager's timing ability.
Abroad theory and practice of recent decades shows that a large number of quantitative analysis method is the introduction of fund performance evaluation. With modern financial theory continues to develop, fund performance evaluation in theory under the guidance of a number of empirical analysis, and in turn the results of empirical analysis of the relevant financial theory and assumptions were verified. In fact, many theorists in the financial investment is still the assumption that there is a dispute in fund performance evaluation can be found traces of the field.
Sharp
2000 年 Muralidhar that the value of information rate, M2 combination method is inadequate to effectively build and fund performance ranking, the key lies in the standard deviation of portfolio and benchmark the difference between the adjustment is not enough,[link widoczny dla zalogowanych], and have ignored a the relevance of reference In view of this, Muralidhar M3 measure proposed method. Stutzer (2000) based on the theory of loss aversion, assume that investors choose to avoid possible risks in order to build a new index, namely, attenuation (ProbabilityofDecayRate), the biggest feature of the target rate of return is to allow convergence of various distribution. When the convergence rate of return for non-normal type attenuation skewness and kurtosis for high sensitivity,[link widoczny dla zalogowanych], the risk of funds being skewed increasingly small.
Fund performance evaluation is a complex issue. It involves not only an objective measure of an effective performance measure is also related to fund performance persistence and performance attribution analysis, and many other factors. From the current situation, in fund performance evaluation of the research is still very weak, not only in theory still remain in the basic theory of the level of 90 foreign countries, but also the relative lack of empirical research.
Fund performance evaluation studies abroad has a long history, the more complete theoretical system and a lot of empirical research, while China is still basically at the start of the stage. This is because the securities investment funds in China a short time, even if not standard throughout the early 90s to establish a fund (such as the blue sky Fund, days Ji Fund and Guangdong Development Fund, etc.) counting, it was no more than 10 years of time. In terms of March 1998 the first closed-end funds (Jijinjintai, Kaiyuan Fund) was established counting is only a few years. As the scale of closed-end fund of funds (share) does not occur with the change in fund performance, closed-end funds issue long-term situation is over-subscribed, in addition to the main holders of closed-end funds trade through access to spread the net income rather than growth through access to capital profits, so whether it is management companies, owners, regulators and independent third-party research on fund performance evaluation is not systematic and thorough. Love from the stabilization fund in 2001 in the Chinese market issued from the first open-end funds, as of December 28, 2005, a total of 217 formal operation of securities investment funds, including 163 open-end funds, closed-end funds 54. Commission by the end of November according to the statistics, the current net value of the scale of securities investment funds had reached 500 billion yuan; total of 52 fund management companies, fund management is the formal 49; and the rapid growth of the fund market compared to China in the Fund Performance Evaluation of theoretical and empirical analysis is still far behind.
To the end of June 2004, the size of the domestic fund industry has reached 3,000 billion yuan, securities investment funds have become the most important institutional investors. Select and hold the fund to participate in the securities market to become more and more institutions and individual investors the choice. Fund sales due to the current fierce competition, individual fund companies often results in promoting their own one-sided reference to various statistical data, while imperfect because the relevant laws and regulations, so that investors can not be objective, professional evaluation of the level of operation of the Fund.
Fama (1972) conducted the first performance of the fund attribution analysis, and proposed the famous Fama model. Fama's model is built on the premise of CAPM model is valid, he will return the excess portfolio is divided into risk-return form) in two parts. Brinson, Hood & Beebower (1986) proposed the BHB model portfolio and the benchmark will be the difference due to timing, stock selection and interaction of three categories. But their results also have been a lot of criticism, such as Hensel, Ezra & Ilkiw (1991),[link widoczny dla zalogowanych], JohnNuttall (1998) and so on.
Abroad have a long history of performance evaluation. 60's portfolio theory, capital asset pricing model and the stock price behavior,[link widoczny dla zalogowanych], laid the cornerstone of the modern theory of the Fund's evaluation. Especially the Sharpe / Lintner capital asset pricing model (CPAM), is the basis of fund performance evaluation. Treynor, Sharpe and Jensen were made almost simultaneously after a risk-adjusted fund performance evaluation methods, this makes performance evaluation to the same level of risk in comparison. Although they measure the risk in the selection of different indicators (Sharpe index is used in all the risk). CPAM model has a long history and is now being widely used (eg Malkiel, 1995 and Ferson, Schadt, 1996). But this theory has been strongly opposed (RichardRoll1977, 1978, AdmatiandRoss, 1985, and DybvigandRoss, 1985a, b). For example, the use of the security market line for performance evaluation is Use this method to determine the performance is sometimes regarded as Response to these criticisms, there are some improvements in the indicators have been proposed. Such as information rate, which is to improve the Jensen index, by unit non-systematic risk of abnormal returns to evaluate the investment performance of the Fund. 1997 Nobel Prize winner and his granddaughter LeahModigliani FrancoModigliani the actual debt into securities investment portfolio and build a virtual portfolio, bringing its total risk is equal to the market portfolio risk, by comparing the virtual asset portfolio and the market portfolio, the average rate of return to evaluation of fund performance, this kind of method is named M2.

In addition, security selection and timing, performance attribution, performance persistence, fund style,[link widoczny dla zalogowanych], performance evaluation of the consistency, effectiveness and benchmark analysis, asset allocation, is also the recent fund performance evaluation of foreign hot spots .

The development of fund performance evaluation


Abstract: This paper introduces the theory of foreign funds in all aspects of performance evaluation, including Securities selection and timing, performance attribution, performance continued of the fund style, performance evaluation of the consistency, effectiveness and benchmark asset allocation and other aspects of theory, but also introduces the major domestic research performance evaluation and results.
Keywords: fund performance evaluation method development More articles related to topics：


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