| As security investment fund in our country develops rapidly and firmly, its impact on the market is also growing day by day. The investment strateges and investment performance have gradually got attentions from the investors, and became one of the main research topics in the theory field. In the security market, open-ended fund has been the category of funds which has largest asset scale, accordingly the research about security investment fund will concentrate on open-ended fund. Due to the large number of anomalies occurring in security market which can not be interpreted reasonably by traditional financial theories, behavioral finance got tremendous development. The explanations to the invalid behavior and the character of investors'behavior in security market get more and more support. The investment strateges of behavioral finance grow up along with the study results of the sociology, psychology,etc. The contrarian investment strategy (CIS)and momentum investment strategy(MIS) are the most typical invest -ment strategies among behavioral financial strategies. Some research found that different strategies bring different performance in inefficient market, as while the security market of our country is just near to weak efficient market. All of these make us think about many questions, such as what kind of investment strategies our investment fund, especially the open-ended fund take, whether there is large difference among the strategies which different funds take, how about the impact investment strategies make to the performance. This test bases on investment strategies of behavioral finance and takes the open-ended fund as sample. It analyses the investment strategies, then reviews the total investment performance, at last carries on correlation test beween the investment strategies and the investment perfor -mance to get the conclusion.Chapter 1 gives a brief introduction to the background, significance, research methods and the structure of this research.Chapter 2 mainly introduces investment strategies and performance evaluating methods. This chapter sets out from the basic concept, introduce the meaning, characteristics and classification of security investment fund; while describes the return and risk characters of different categories of funds. This part introduces the developing history and current situation of security investment fund in our country. It points out that in resent years, fund increases in asset scale, many new kinds of products come out, opening policy obtains progress, the rules of law and management system develop continuously. Investment strategy of security investment fund is a point in this chapter. Based on market efficiency and behavioral finance, investment strategies can be classified. The text makes explanation to various strategies in different classification and presents investment decision process of security investment fund.Chapter 3 is a summarize of the research on investment strategies of behavioral finance and performance evaluation of funds. Due to different opinions about market efficiency, the theory of security investment develops without stop. Behavioral finance theory makes a summary to mentality and behavior process of investment combined the study of psychology and behavioral economics, while makes explanations to many anomalies. Then , plenty of behavioral financal investment strategies have been formed to make investment earn more than the market average taking use of the behavioral bias. The research from abroad pointed out that overreaction and medium-term price momentum effect exist in American stock market, but there are a lot of arguments about this viewpoint in recent studies. The studies on behavioral financal investment theory are maily about short-term price reversal , medium-term price momentum and return momentum. Chapter 3 introduces the research achievements on total evaluation of fund performance, including the studies from abroad and in our country. Chapter 4 is mainly about the research design. This test chooses the 14 stock and admixture open-ended funds issued before Sep.30th, 2002 as samples, and use the model designed by Grinblatt,Titman&Wermers(1995) to measure the investment strategies of the funds.Then we choose CM (Copeland&Mayers, 1982), R(cumulation return) and S(Sharpe index) to evaluate the fund perfor -mance, and describe Spearmann's rank correlation test.Chapter 5 is the empirical analysis on investment strategies and invest -ment performance of security investment funds. Firstly, we analyse the total investment strategy of security investment funds, and then examine the difference among the investment strategies based on different capital stock. After evaluating the investment performance of funds, we test the correlation between investment strategy index and fund performance index. Besides, due to the strategy index which can not be used to judge the style of the strategy, we divide it to find out whether there is obvious difference between the corresponding performance .In conclusion, most open-ended funds adopt the same investment strategy, viz. the strategie of buying at the rising while selling at the rising. Comparing with the stock of smaller stock scale, funds are apt to use the strategies of buying at the rising but not selling at falling to the stock of larger stock scale. The result shows that the net value of open-ended fund is higher, but the return adjusted by risk is lower correspondingly. According to the analysis on the correlations between investment strategies and investment performance, we find that it is beneficial to the fund return buying the stock which has better performance during current and former period, and selling the stock perform -ing better during former period. But these strategies can make risk arise, so that the return adjusted by risk will decline. Mean while, comparing with the investment performance based upon different investment strategies, we find that to some extent adopting momemtum strategy is better than contrarian strategy according to the stock performance during former period. |
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