Research On The Performance Persistence Of Securities Investment Fund Based On The Four-Factor Model

Securities investment fund is a benefit-sharing and risk-sharing investment. Through the issuance of fund, the gathering of investors’funds, and the trusteeship by the fund custodian, the fund manager invests the money in stocks, securities and other financial instruments. Securities investment fund has become an important world-wide investment channels and financial instruments these days. In China, although we started later than other countries, we developed quickly these years in the number of funds issued and the scale of assets. With the increasing enthusiasm of investors who participate in fund investment, people focus more on the performance of the fund such as whether the fund can act better than the market, whether the excellent performance can last longer. In this background, studies of the judgment of fund performance become important. Theories, studies and practice abroad are more advanced because of the early start. A system has been developed for a long time. In china, a large amount of studies have been made based on the system abroad. However, different conclusions have been made because of different methods.This article collates the main methods of the study of Securities Investment Fund Performance Evaluation theory and performance persistence. On the basic of the analysis of Fama and French three-factor model, we build four-factor model based on the research experience from abroad and combining the actual situation of China’s securities market. Through practicing research, we compared the different performance between absolute return and risk-adjusted return, analyzed the relationship between the two methods and observed whether the fund performance can be persisting. In the end. it concludes the model for the practical significance of the fund’s investments.The first chapter is the introduction and literature review. This section mainly describes the research background and significance, specifically introduced domestic and foreign scholars in fund performance evaluation and performance persistence research in theoretical results. Also in this chapter, we introduce the ideas and research methods, and summarize innovations.The second chapter is an overview of securities investment fund performance evaluation theory. Mainly introduce the evaluation theory and methods, and describe the relative research on performance persistence, including evaluation theory, influence factors and research importance.The third chapter is an overview of securities investment funds. We introduced the concept, the classification as well as China’s fund industry development process in these years, which including scale of the market, portion of the asset and investment return. Then we compared the performance of funds in some distance.The fourth chapter is the building of four-factor model. This section first details the Fama-French three-factor model of the theoretical system and assumptions. Based on this theory, we proposed four-factor model and analyze the different factors selected. This section also describes the method of sample selected and performance measurement.The fifth chapter is the core content, in this part, we use the model mentioned above to get the risk-adjusted return, and based on the return, we grouping and arrange the funds. By observing the performance of the funds in different angles such as absolute return, risk-adjusted returns, short-term and long-term performance, we are trying to prove the ability of the model.This paper concludes with a summary of conclusions and the inspiration for fund investment.