Securities Investment Fund Performance Attribution Analysis Of Empirical Research

Mutual funds gradually become one of important institution investors in Chinesesecurities market. How to evaluate the performance of mutual funds rationally hasalways been the focus of scholars. Besides attaining to the return of matching risk,the investors care more about the fund manager's ability of selecting high incomesecurities as well as adjusting portfolio according to the changes of the securitiesmarket. Performance attribution analysis can explain and analyze these problemscleanly.Firstly, the paper systematically goes over the theory of performance attributionanalysis. And then according to the empirical results, the paper widely usescomparative analytical method to analyze the security selecting ability and markettiming ability of 77 mutual funds. The paper chooses the conditional T-M model asthe theory model after comparing the regression results of T-M model and conditionalT-M model. Then performance attribution analysis falls into four parts: different typesof funds, different ages of funds, the same funds in the different market circumstance,the different funds in the same market circumstance. Lastly, the paper find that theconditional T-M model is an effectual model to identify the security selecting abilityand market timing ability of mutual funds. The results of conditional T-M model showthat parts of funds have certain security selecting ability and market timing ability.