Research On The Performance Of Large-scale Mixed Partial Equity Development Funds In China Based On Carthart Model

With the deepening of reform and opening up,China’s economy has ushered in a period of rapid development.This demand stimulates the development of China’s capital market,and the scale of the fund industry is also growing rapidly.As of December 2018,according to the public data of the fund industry association,there were 5626 public funds in China,with a total net asset value of 13 trillion yuan.Among them,there are 2375 hybrid funds,accounting for 42% of the total number of all public funds.After the net asset value of 1360391 million yuan,it accounts for 25% of the net value of all public funds excluding monetary funds.There is no doubt that the hybrid securities investment fund has become one of the most favored investment varieties.Thus,for investors,how to choose a suitable fund in a variety of fund markets has become an urgent problem to be solved.There are many researches on fund performance,among which Fama French three factor model is the most influential one.However,with the development of research,it is found that the model can not explain the "momentum effect" widely existing in the market.Based on this,this paper studies the performance of hybrid securities investment funds in China on the basis of Carhart’s four factor model with momentum factor added,in order to find the answers for investors.The model divides the system risk into four factors: market,scale,value and momentum,and uses the excess return rate after deducting the risk premium from the fund return rate to measure the fund management level.Through this model,we can fully consider the impact of "momentum effect",get the true return level of the fund,and make a specific judgment on the investment style and performance attribution of the fund.In the empirical research,we select 30 hybrid securities investment funds as the research object,and take July 2014 to June 2019 as the observation period of the study.Through multiple linear regression of the fund’s return rate and four factors in the Carhart model,we make an empirical analysis of the overall and individual performance and investment style of 30 sample funds.Through the empirical analysis,we can know that China’s hybrid funds as a whole have achieved excess returns over the market level,and can also achieve positive excess returns on most individual funds,which shows the effectiveness of China’s fund management,investors can get more than market level returns through fund investment.At the same time,the research on the investment style and performance attribution of the fund can also provide meaningful reference for the investment decision-making of investors and the performance management of fund managers.Finally,based on the conclusion of empirical analysis,combined with fund performance,this paper puts forward some limited views on the future development of the fund industry.At the same time,it points out that the research of this paper still has some limitations due to the limitation of model perfection and time.It is expected that some researchers can put forward a more perfect theory of fund performance in the future,and further improve the fund performance evaluation system in China.