Study On Performance Attribution Of FOF Fund Based On BHB Model And IK Model

Brinson model was first proposed by Brinson,Hood and Beebower,so it is also called BHB model or Brinson model.This model decomposes the excess return of portfolio relative to benchmark into three parts: asset allocation effect,target selection effect and interaction effect;Ibbotson and Kaplan simplify the Brinson model according to the needs of the problem.They decompose the total yield into policy yield and positive management yield,that is to say,they combine the timing contribution,stock selection contribution and the interaction of timing stock selection into positive management yield.Therefore,IK model is the simplified version of BHB model.Starting from the concept of FOF,this paper briefly introduces the development process of FOF,introduces the key factors of FOF,highlights the importance of fund performance attribution,and selects 35 funds in Tiantian fund network as an example for in-depth study.Through the verification of an example,based on the BHB model and IK model,it can be concluded that there is a positive correlation between the stock selection rate of return,the positive management rate of return and the benchmark rate of return.For the selected sample stock market,the yield is far greater than that of bond market and interbank market.Therefore,the higher the benchmark yield is,the higher the share proportion is,and the stronger the securities selection effect will be.The timing ability will determine the positive and negative of the fund's timing rate of return,and the extent of the change of securities assets will determine the absolute value of the timing rate of return to a certain extent.