The Experience Of China's Securities Investment Funds Investment Style

At present, the fund in China is in the tide of rapid development, and the investors who invest by fund increase day by day. People are paying more and more attention to the fund division by the goal and style of the investment.This paper found the following problems through the analysis of used papers: (1)The fund style indexes are not complete. For example, the past research used only Zhongxin index to regress, but it didn't contain other factors that influenced the fund style like momentum and the level of the fund managers; (2)The market conditions that influenced the fund style were not included. In fact, different market conditions make different fund styles; (3)The resource of the earning rate of fund was not considered carefully. The earning rate of fund in China was quite influenced by policy, but the used papers did not eliminate the influence.In view of the above questions, this paper improved the return-based style analysis as follow:First, the constant was included to observe the influence on the earning rate of fund that the level of fund manager may make.Second, the momentum index was included. As the stock market of China rises and drops frequently, we thought about its contribution to the earning rate of fund. Third, dummy variable D₁ was included. The contribution to the earning rate of fund by different market conditions (bull and bear) was considered.Fourth, dummy variable D₂ was also included for the sake of considering how the priority of the fund's buying new stocks influenced the earning rate of the fund. The experience analysis in this paper indicated that: (1)About 74% of the fund's declaring style was inconsistent with the actual style; (2)In different market conditions, the fund style changed: when bull changed to bear, almost 80% fund turn to invest large value stocks, which indicated that fund style was closely correlate to the market conditions; (3)More than half of the fund managers couldn't make excess return through effective management, furthermore, the average achievement of the...