Investment Style, Fund Performance Research

This paper attempts to analyze the relationship between the investment characteristics and the fund achievements, with the expectation to provide the fund managers, investors and officials in the fund supervision and management departments with systematic analyzing methods and practical proposalsThe author takes advantage of evidences to do research on the relationship between the investment characteristics and the fund achievements. The author chooses 28 open funds which were founded before the end of June in 2003, makes use of Gruber style to analyze the mode to identify the fund investment characteristic, and makes sure the real investment characteristic, which finally ensures the real characteristic of the investment. After that, the author uses multiple linear regression equation to get the model fund's performance indicators on the assumption of the adjusted investment characteristic. Meanwhile, the researcher makes use of Matlab language to write programs with the aim to get the performance indicators under the adjusted risk, compares the performance indicators under the adjusted characteristic and the performance indicators under the adjusted risk with long-term, middle-term and short-term to get the valued proposal. In the end, the paper provides the fund managers, investors and officials in the fund supervision and management departments with verified performances of the fund investment under different characteristics in different terms. The main research results are as following.(1) The performance obtained with adjusted risk and that obtained with adjusted characteristic will exceed the quota. However, it is not remarkable on statistics.(2) In worse and better funds, the performance obtained with adjusted risk and that obtained with adjusted characteristic are close.(3) The performance with adjusted characteristic in Gruber model contrasted to performance with adjusted risk proves that adjusted risk will be beneficial to enhance the performance of fund.Suggestion to fund managers: fund managers can summarize their investment style and follow the change of time to choose the funds which are favorable to them under the special market condition.Suggestion to investors: they may check whether the fund manager does what he says in the investment characteristic. If not, the investors should be prudent on choosing such a fund.Suggestion to the supervision and management department: on the one hand, they should adopt measures to manage the investment in the market; on the other hand, they should strengthen the research on fund performance evaluation and evaluate the capability of the fund manager.