Empirical Study Of Fund Performance Attribution Of Domestic Open-ended Funds

With the increasing amount of disposable personal income,the awareness of finance and investment is getting stronger and fund products become to attract growing nubmer of customers in recent years.For the investors,how can we choose proper funds from a variety of products?It is a good idea to do it by fund performance evaluation and performance attribution;for the fund market and fund managers,fund performance evaluation and performance attribution are also significant because they will strengthen the benign competition and healthy development.The study of fund performance evaluation and performance attributioncan be traced back to the 1950s in foreign countrie.Treynor Measure,Sharpe Ratio,Jensen’s Measure,T-M model and H-M model are representative theories in that era.All of them are based on CAPM model,.Since CAPM model is not completely perfect,people try to add economic factors into CAPM model and do significance and fit testing to observe their influence to yield.Eugene F.Fama,Kenneth R.French first added size and B/M factors,then,profitbility and investment factors into the model,which became Fama-French Three Factors Model and Fama-French Five Factors Model.Both two model became popular among scholars.Samely,we can apply multi-factor CAPM models to the performance attribution models which can be based on the classical CAPM model.The study of fund in China lagged those in foreign countries because of the late start,and most of the study are empirical studies.The major innovation point of this passage is to biuld new TM model and HM model based on Fama-French Five Factors Model,and in order to test its effectiveness,we studied 20 open-ended stock mutual funds from Chinese domestic market and used Eviews to do the regression analysis.Our purpose is to study the feasibily and superiority of Fama-French Five Factors model in performance attribution models.We also did the regression analysis of anther four models—CAPM-TM,FF3-TM,CAPM-HM,FF3-HM for contrast.The result shows that the Fama-French Five Factors model is applicable to TM and HM model and has better goodness of fit.According to the empirical data,we have conclusions as follows:Except for very few fund managers,there is no evidence to suggest that most fund managers have the ablilty of market timing;some of the managers have abilities to gain abnormal returns;most mangers have size factor perference when investing;most mangers have book-to-market factor perference when investing;some mangers have profitability factor perference when investing;most mangers have investment style factor perference when investing.We will give advices as follows:1.Investors should raise the awareness of fund performance evaluation and performance attribution in order to improve return;2.Fund managers should evaluate fund performance and attribute performance regularly so as to improve both investment strategy and level;3.There should be a relatively perfect and mature system for fund performance evaluation and performance attribution in the fund market to promote the industry’s competition and reduce the gap between the develped country and our country.