Research On Alpha Of Stock Funds Based On Multi-factor Model

Since the promulgation of the Interim Measures for the administration of securities investment funds in 1997,the domestic securities investment fund market has entered a stage of rapid development.With the continuous improvement of China's economic level and the rising of residents' disposable income,nowadays,the fund has become an important investment tool in China's capital market,and the investment of stock fund products is becoming an important way of financial investment.Investors pay most attention to the return of the fund when they invest,but the claimed return does not fully reflect the true profitability of the fund.Investors are faced with the problem of how to evaluate the performance of the fund,especially how to evaluate whether the fund has the ability to obtain excess return.In this paper,we take the Open-end Equity Fund as the research object,and try to use different factor models to decompose and explain the source of the fund's return volatility.Through different factor models,part of the risk sources in fund performance can be revealed,and can be shown in different factor models,whether there is difference in the evaluation results of the significance and stability of the excess return of the research object.By comparing the four factor models horizontally,we can divide the fund into three groups:full sample,top 10%of excess return and top 10%of net value growth in CAPM model.It is found that the excess return is not significant and irregular in the whole sample fund portfolio,but there is a stable excess return in the top 10%of the excess return and the top 10%of the net value growth in the CAPM model,and the latter has the law of decreasing with the addition of factors.As far as the risk factors are concerned,the market factors are significantly positive,while other risk factors are significantly low.However,the analysis and discussion of the positive and negative of the mean value can still help to understand the characteristics of fund stock selection in China.Compared with the four models,with the increase of the number of models,the goodness of fit of the model is constantly improving,so in a comprehensive view,the five factors have the strongest and most comprehensive ability to explain the fund return rate in China.By dividing the time window into two periods from 2016 to 2017 and 2017 to 2019 for vertical comparison,under the four models,the excess return of phase II is less than that of phase I,we can see that the strategic effect of the fund has declined,which shows that the profit strategy of the fund manager is becoming more and more invalid,and the profitability is becoming lower and lower,but it can not prove that the invalid strategy is the fund management The decline of human investment ability may be caused by the market becoming more and more effective,which reduces the effect or capacity of the strategy.Under the four models,the influence of market factors in stage two is greater than that in stage one,which shows that the effectiveness of market factors is improved.The regression coefficient of scale factor is low and irregular.The regression coefficients of the first and second value factors are all negative.It can be seen that the low book value is more popular than the stock.Profit factor,momentum factor and investment factor also have the problem of low significance,which is related to the selection of sample funds.Under the full sample fund portfolio,different funds have different preferences,resulting in the low significance of some factors.