Performance Evaluation Of Mixed Fund Based On Fama-French Five-Factor Model

The development of China's fund began in 1998.Early open-end funds were mostly equity-based funds.In 2015,mixed funds began to replace equity funds.,become the mainstream product of the fund market.Fund performance evaluation has always been the focus of research in the financial field.How to determine the evaluation criteria and analyze the sources of fund performance is closely related to the development of the fund market.This article examines the performance of mixed funds that account for a large proportion of the market.Through the use of the five-factor model proposed by Fama and French in 2015,combined with theoretical and empirical methods,the performance of mixed funds and the ability of selecting stocks and timing of mixed fund managers are analyzed.Based on the Fama-French five-factor model,this paper selects 42 open-ended mixed funds established before October 2004 and conducts empirical analysis using sample data from May 2005 to September 2017.In the fund performance evaluation,the Fama-French five-factor model was used for regression analysis to study the impact of market risk factors,scale factors,book-to-market ratio factors,profitability factors,and investment ability factors on fund performance.In the evaluation of the investment manager's investment ability,it used the improved TM-FF5 model and the HM-FF5 model to study the ability of the fund to perform stock selection and timing,and tried the style timing TM-FF5 model to examine the fund manager's style timing ability.This study mainly draws the following conclusions: Fama-French five factors have more explanatory power than CAPM models and Fama-French three factor models,and are more applicable to the analysis of China's fund performance.The five factors have a significant impact.In order to bring positive returns to investment funds,investing in small-scale corporate securities can provide excess returns over large-scale corporate securities,and investing in high-profitability company securities can also yield higher returns than investing in low-profitability company securities.The value-ratio factor and the investment ability factor show the opposite effect;in addition to the five factors that have a significant effect on the fund's return,the fund manager's investment ability also makes a significant contribution to the fund's performance;the TM-FF5 model shows that the fund manager's stock selection ability is obvious,but the investment ability is not significant,and the HM-FF5 model shows that theactual fund manager's timing ability is more significant,but the stock selection ability is not obvious;the fund manager has a certain style timing ability,there is significant judgement in the value ratio factor and profitability factor,that is,the fund manager choose large-cap stocks and small-cap stocks,high book value ratios and low book value ratio securities,high profitability,and low profitability securities to obtain excess returns.However,the choice of investment factors is less obvious.Overall,the fund can overcome the market portfolio and obtain excess returns.For the conclusions,suggestions and future research directions are presented.