| A practical research has been conducted on the domestic quantitative funds which few studies had been made yet.By regression with T-M,H-M,C-L model and performance attribution models containing SMB factor and various market value indexes,two groups of daily quantitative fund returns are analyzed.One group contains 20 quantitative fund samples which were collected from 2013 to2017 while the other group includes 25 which were collected from 2016 to 2017.The evaluation term has covered all cycles and two specific periods during 2013 to 2017.Besides of an empirical analysis on the first observed group at different stages,by a simultaneous comparison between two groups of data at same stage,the development status of quantitative funds in China is able to be discussed.As the results presented,the conclusion is given that the domestic quantitative funds evidentially prefer small-cap.Despite of stocks selection in overall,market timing is unremarkable.An apparent difference in performance of the two properties frequently emerges when the situation of market changes over time.The comparison suggests that the newer funds performed a better market timing than older.In general,the China domestic quantitative funds which have distinctive investing style and market-follower strategies show their great advance in past and a bright prospect in future. |
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