A Study On The Relationship Between Mutual Fund Portfolio Asset Allocation And Fund Performance In China

In the past few decades, significant changes have taken place in the global securities investment fund market, fund asset value and numbers of fund products were rapidly developed, a growing number of fund management company was set up and continuously provide new fund products to market. The mutual fund market in the United States rapid development in the past 30 years, the fund’s assets scale extend nearly 43 times. From the perspective of regional distribution, in the global fund distribution, more than half of the fund’s assets are located in The Americas, followed by Europe. In Africa and Asia Pacific area, fund accounts for only 13% of the global scale; their mutaul fund market has great development potential. China launched the mutual fund in 2001, and growth very fast in these more than ten years. In 2015, the fund’s assets total reach 8.9 trillion yuan, the fund size get leap development in recent years.Among them, mutual fund occupies most of the fund market as a whole. By the mature process of the capital market, the closed-end fund will in the course of transform to large-scale mutual fund. At present China draw lessons from the development path of mature capital market; number and assets of mutual fund in Chinese security market are in the growth development. Therefore, to research the performance of mutual fund in Chinese securities market has the vital significance for discovering the role of fund in Chinese capital market.This article analyzes performance of mutual fund in the security market in China from the perspective of mutual fund stock configuration. Since Markowitz’s portfolio theory is put forward, scholars begin to pay close attention to the portfolio’s performance in the market. In theoretical research part, this article, on the basis of the Sharpe’s capital asset pricing model, draw lessons from the R2 research of Roll in the volatility of the market, set up metering form of fund system risk, and build the fund risk model based on that. And according to the Efficient Markets Hypothesis, which was put forward by Fama, we discuss fund risk and excess return. This paper makes empirical research from the view of the fund shares allocation, analysis of mutual fund risk and performance of the security market in China, at the same time, also explores the stability of the stock returns in view of the industry concentration of the funds’ holdings in Chinese mutual fund area.In the empirical study part, First of all, this article discusses the relationship between the fund risk and mutual fund stock configuration from three aspects:the fund system risk, idiosyncratic risk and overall risk. The results showed that the diversification of China fund stock configuration is poor; the degree of fund holdings aggregation of the industry was significant positive correlation to fund risk. Fund shareholding concentration is higher, resulting in a higher idiosyncratic risk. In addition, the listed company issue of fund stock configuration and regional financial development degree will affect fund risk. Funds holding company’s weighted ratios of the carrying value and fund risk were significant negative correlation, and the location of holding company will significantly influence the systemic risks performance on fund.Base on the analysis of the relationship between the fund risk and mutual fund stock configuration, this paper further explore the relationship between the stock fund allocation and the fund performance. According to the research results, when Chinese fund allocating stocks, the market performance is worse when the industry concentration is higher, showing the funds portfolio is lack of good investment ability or has the phenomenon of overconfidence. However, the fund holding company’s weighted ratio of carrying value is positive related to fund performance, it shows the positive effect of high quality assets to fund’s earnings. In the study on the stability of Chinese fund income, the empirical results said when the concentration degree of the stock which funds allocating is higher, the possibility of fund yields rate’s continuous decline is higher; and when the dispersion degree of the funds’holdings is higher, the possibility of fund income’s rise continuously will be higher too. In this respect, fund allocation on industry need to be diversifying in China. To explore whether the fund choose high quality assets from the perspective of corporate governance, the empirical results shows that when fund make allocation strategy, will bullish about role of the board of directors on to supervise and strategy function of company development prospect, choose listed company shares with good corporate governance. Fund portfolio will resist the shock of market systemic risks by hold high quality assets.This paper, based on my theoretical exploration and empirical research, analyzes the impact on fund performance of mutual funds stock configuration in China from different angles. Investors can choose better performance funds through the analysis of the fund shares configuration, and will have larger possibility to earn profits in the security market under different risk conditions. This paper provides some empirical basis for fund research.