Study On Investment Strategy Rotation Of The China's Mutual Funds

The article is based on the comprehensive of incomplete contract theory, behavioral finance theory and market microstructure theory which are to explain the behavior of the investment strategy, and find that the rotation of investment strategies and styles drift is the behavior of institutional investors who make changes in investment strategy by the periodicity of macket risk.For the investment fund itself, this behavior can help improve performance; for fund investors, this means that the Fund deviated from the contract requirements; for market supervision, this behavior led to the convergence of investment behavior, market volatility will increase . The whole article a few issues around this research. The main conclusions are as follows:(1)To a certain extent the Fund investment strategy have a periodicity which includes three levels: asset allocation rotation mainly reflected in the stock positions held by the Fund; trading activity rotation, the Fund's trading volume also has a cyclical effect wheeled; Fund Investment style drift, including the broader market in a bull market in blue-chip configuration, the turning point of the operation of small-cap growth stocks.(2)In addition to index funds, other investment funds investing exist the phenomenon of convergence, and consistency of bond funds maintain a better investment style. When the macket cycle experiece the bear market to cattle market, style drift are more pronounced.(3)There are do exist some volatility spillover between the funds and stocks market market. the funds market maintaining the short-term effects and lasting effects to the stocks market, and the lasting effect will reduce gradually. stock market can only impact the fund with some short-term effect. At the same timethe impact from fund market to the stock market is bigger than it from stock market to the fund market..