Attribution Analysis On The Quantification Of Investment Returns

Exactly evaluating the efficiency of a strategy by attributively analyzing the performance of quantitative investment fund is one of kernel contents of quantitative investment. The attribution analysis of quantitative investment fund can be used by investors to check whether the investment strategy for fund deviate from the investment strategy when the product was established. Observe whether it satisfies investors’relevant requirements about risk and profit, more reasonably reflect the efficiency and the degree of performance of investment strategy, evaluate and compare the performance of strategy with the method of detailed quantitative ones. Besides, it further stimulates investors to improve the manifestation of strategy and lift the level of it. Through comparing the manifestation and evaluation of each strategy, investors can reasonably invest according to his risk preference and expected revenue. This article first introduces the development history of quantitative investment at home and abroad, the current situation of our national quantitative investment fund and the meaning of effective performance evaluation have in the development of quantitative investment fund; next, it introduces the research on the method of performance attribution at home and abroad and states corresponding analytical model; and then, use attribution analysis to conduct empirical study on quantitative investment fund; at last, put forward some deficiency of performance attribution.