Attribution Analysis Of Chinese Open-ended Fund Performance

With the rapid development of China’s multi-level and multi-dimensional bond market and continuous product innovation,China’s bond market has maintained a relatively rapid development rate in recent years.In this context,innovative debt-based products have been launched one after another,such as ultra-short bond funds,financing bond funds,medium and high credit bond funds and other different types of bond funds.Facing a variety of debt-based products,scientific and rational evaluation of fund performance is of practical significance for establishing an effective market evaluation system,helping fund managers to improve performance and investors to invest rationally.The fund performance evaluation system includes performance measurement,performance attribution and performance evaluation analysis.Performance attribution is the core part of the evaluation system,and it is one of the methods to scientifically evaluate the investment decision-making and management ability of fund managers.There are many ways to study the attribution of fund performance,but most of them focus on equity funds.Because of the difference of the essential attributes between bonds and stocks,the performance attribution model of equity funds is not applicable to bond funds.Based on the ampisi bond decomposition model and the bond pricing formula this paper decomposes the excess income sources of bond funds into four categories according to the mathematical differential method,and further subdivides them into seven attribution items.They are income effect(coupon income and price convergence income),treasury bond effect(duration management income and term structure income),spreads effect(spreads translation income and non-translational spreads income)and residual items(securities selection effect).In order to verify the validity of the model and explore the sources of excess returns of domestic bond funds,this paper constructs a simulated bond portfolio and chooses 100 medium and long-term pure bond funds in the market as the research objects to conduct a detailed performance attribution analysis of the simulated portfolio and sample funds.The empirical results show that:(1)The theoretical model can explain in detail the seven sources of simulated portfolio excess return.The excess return of bond portfolio depends more on the duration management ability and credit spreads management ability of bond portfolio,while the coupon income management ability has limited contribution to bond excess return.At the same time,the residual of simulated portfolio is positive,and the residual is classified as positive.Securities selection effect can explain some sources of excess return of portfolio;(2)Based on sample funds.the three effects are significantly positively correlated with excess return of sample funds,and can explain more than 90%of the sources of excess return of sample funds.In the correlation analysis,the spread effect is highly positively correlated with excess return,which has a strong explanatory power to the model.In the excess return analysis,the bond bond effect has a strong explanatory power.We should make more contributions to the excess returns of sample funds,while the contribution of income effect and spread effect is limited.Therefore,domestic bond fund managers mainly rely on duration management ability and credit spreads management ability to obtain excess returns,but it is more difficult to rely on bond coupon income to obtain excess returns.According to the results of model deduction and empirical analysis,at the end of this paper,some policy suggestions are put forward for fund investors,fund managers and market regulators in order to strengthen the healthy competition in the industry and maintain the healthy development of the market.