A Study On The Ability Of Stock Selection And Market Timing And The Tendency Of Investment Of Sunshine Private Fund In China

Sunshine private fund is the fund by trust company issued,after regulator for therecord, realizing a third-party bank custody and investing in stock market with regularperformance reports. The fund guarantees the private subscriber’s capital safety, andmakes it more standardized and transparent than the average private fund. It also hasflexibility and high profitability, so sunshine private fund in recent years has beendeveloped rapidly and become an investment strength in fork financial.Because of this, either from the point of view of the regulator or from the investor’spoint of view, it is very urgent and necessary on this subject of the research. Does ithave significant ability of stock selection and market timing? What investment tendencydoes it have? What kind of impact it will give the market? And how to supervise thefund by regulator? These problems must be faced and tackled currently. This paper is tostart from the ability of its stock selection and market timing and the tendency ofinvestment. It has the certain theoretical significance, for it tries to know its behaviorperformance and investment tendency, and further improves the current academicresearch about sunshine private fund. And this paper has the certain practicalsignificance, because it lays a solid foundation for further study of the private fundbehavior and the influence of the stock market, and for exploring a series of advicewhich is beneficial to the supervision and management.This paper has deeply researched sunshine private fund in theoretical aspect andempirical aspect. In theoretical aspect, the paper has mainly introduced the foreignclassical theories about the ability of stock selection and market timing and the tendencyof investment. In empirical aspect, this paper has tested monthly data from January2008to May2012. These monthly data is from81sunshine private funds which areestablished before2008and still existing now.In the research of the ability of stock selection and market timing, this paper hastested sunshine private fund in both full range and phased range by the models ofTM-FF3、B-FF3and TM-B-FF3. In the test of full range, this paper has tested the timeseries data and the panel data at the same time. This paper finds that at any datasunshine private fund shows a significant ability of market timing,but it does not playwell in the ability of stock selection. In the test of phased range, this paper finds that sunshine private fund shows a significant ability of both market timing and stockselection in the stock market rise period. And in the stock market shock period, it onlyshows a relatively significant ability of stock selection and does not play well in theability of market timing. And in the stock market drop period, it shows a significantability of market timing, but it does badly in the ability of stock selection. Furthermore,this paper finds that the model B-FF3is obviously better than another models in thisresearch.In the research of investment tendency, this paper has also tested sunshine privatefund in both full range and phased range by the model of FF3. This paper finds that atany data sunshine private fund shows the interest of small-cap stock and growth stock.In the test of phased range, it shows the interest of small-cap stock and growth stock,but this interest is not strong. And in the stock market shock period, it shows the stronginterest of small-cap stock and growth stock. And in the stock market drop period, itshows the interest of small-cap stock and value stock.