| At present,the selection of FOF funds in China is generally qualitative or quantitative,and there are few combined considerations of existing policies.Second,usually the FOF study separates the research on the allocation of major assets and the selection of sub-funds,and cannot conduct a unified quantitative analysis.Finally,due to the introduction of the "Guidelines",there are many requirements for the selection of sub-funds for public funds,and how to use quantitative analysis means to perform performance evaluation of funds in the FOF becomes a key and difficult point.In the selection of sub-funds,this paper will rank performance evaluation based on the method of yield analysis to construct our optimal FOF portfolio.This thesis combines the theory with practicality and practicality,and can be used as a reference for publicly funded FOF.The data sample of this paper uses the partial equity net value of public fund from 2005,a total of more than 2000 data,the selection of Shanghai 50 yield,CSI 300 yield,500 yields,CSI 1000 as the basic data.The data comes from winds.The article is focus on investment style analysis of the fund through the method of yield analysis,and conducting a strategic study on the fund pool of the public fundraising FOF.Specifically,using the yield analysis method,the fund's approximate ratio of various assets is fitted,and then the fund is split into style Alpha and stock picking Alpha.First of all,for the correlation between the derived style Alpha and the stock picking Alpha for yield,further analysis of variance is performed on the correlation.From the results of variance analysis,we can see that the variance is very small,researching stock selection alpha has certain theoretical significance,and further proposes the strategy of using stock picking Alpha to screen the level of fund managers.This thesis concludes that(1)using the yield analysis method to split the fund manager's yield so that the fund can outperform the index returns;(2)the stock picking Alpha indicator strips the market as a whole and the style influences the performance of the fund(market The influence of style on most funds is basically the same,and the fund's style timing ability is homogenously strong.It can examine the fund-selecting ability of fund managers more purely,and stock selection ability is an important indicator to distinguish between good and bad funds;(3)The fund manager has a number of job-hopping phenomenon and its profitability has no correlation with the term of service.However,the performance of the funds it manages has certain continuity within a short period of time(in this paper,the time point of the screenshot is one year).Therefore,this paper has a certain data basis for the selection of fund managers based on historical data. |
