| China's fund industry is in a stage of rapid development,and the number and scale of funds are constantly increasing.Fund performance analysis is increasingly indispensable in all aspects of fund investment.At present,there are many theories and practices of fund performance evaluation at home and abroad,but they are mainly focused on fund income risk,fund manager capability or fund company evaluation.This paper draws on the achievements of previous studies.And put forward some thinking about the issues related to the theoretical and empirical research,combined with the actual business process of fund investment management,this paper explores and constructs a fund performance evaluation system based on the risk return performance analysis of the fund in each process link of the actual investment.Firstly,through the elaboration of the development status of the global and domestic fund industry,this paper introduces the research background of this paper,and then derives the research purpose,research significance and research ideas and methods of this paper.Through the performance evaluation of domestic and foreign fund performance and fund performance persistence literature The review summarizes the results and views of existing research at home and abroad.Secondly,the selection of research object,market benchmark and research model is introduced in detail.In this paper,483 open-end stock-biased funds established before 2015 were selected as research samples for fund performance evaluation,and the analysis interval was from July 2015 to the end of December 2018,a total of three and a half years of data.Combined with the process of fund investment management,this paper decomposes the fund income from three dimensions of asset allocation,industry allocation and stock selection,and locates the source of fund income and risk.Before calculating various incomes,the asset ratio of the fund is fitted to the industry ratio.Since the partial stock fund mainly invests in stock assets,the fund income is highly correlated with the stock assets.The index returns through the linear regression model to measure the allocation ratio of the fund's daily frequency industry,and then fit the proportion of the major asset allocations of the daily frequency according to the measured industry allocation ratio and the asset allocation ratio disclosed at the end of each quarter disclosed in the fund's quarterly report.This paper constructs the fund performance attribution model based on the fitted large-scale assets and industry allocation ratio,and decomposes the fund income into all aspects of fund investment management,and then analyzes the risk and return of the funds in each link and evaluates the fund's capabilities.Comprehensive evaluation of the performance of the fund.The empirical results show that the method of attribute analysis based on the calculation results of partial stock fund positions to attribute the excess returns of funds to the actual investment links is effective.The persistence of various excess returns after attribution decomposition is obviously better than the excess of funds;The scene factor also has a certain impact on the performance of the fund,and subsequent factors of different scenarios can be considered.Based on the analysis results,we can know that the industry allocation income of China's partial stock funds contributes the most to the overall excess returns of the fund.Some stocks choose funds with better performance,while the overall asset allocation performance is weaker;industry allocation performance,individual stocks The choice performance has a more significant sustainability.In the investment process,it is necessary to choose funds with strong industry allocation ability or strong individual stock selection ability,and try to avoid these two types of funds with poor ability.In view of the results of the empirical research,this paper summarizes and puts forward some suggestions in the end. |
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