The Empirical Analysis On The Performance Attribution Of China's Equity Fund Based On Position Data

The public funds of China's A-share market continue to grow,and the size of equity funds continues to grow.Whether it is the analysis of fund performance within the fund company or the external evaluation of funds,performance attribution is one of the most important aspects.The Brinson attribution model has been widely used for its precise and intuitive profit dismantling.This article is based on the Brinson model of industry configuration,the Brinson replication model Brinson multifactorial model of industrial factor regression,and the multi-period attribution model of GRAP and Frongello,and conducts a detailed attribution analysis on China's A-share equity funds.This paper first introduces the basic theoretical basis of the Brinson attribution model and its course of improvement and expansion,and applies the Brinson attribution model based on large-scale asset allocation to the Brinson attribution model of equity funds based on industry configuration.Secondly,this article introduced a complete replication of the Brinson attribution model through the regression of industry factors under certain assumptions.Brinson's industrial factor regression replication model achieves a one-to-one correspondence between industry factor yields and allocation effects,residual returns,and stock selection effects,and further expands this model to include scenarios that include style factors.You will get the industry factor yield that excludes style factors and the style factor yield that excludes industry factors.Finally,based on the needs of the fund company for multi-phase continuous performance attribution of funds,the Brinson multi-factor model is extended to multi-stage performance attribution based on GRAP and Frongello models,respectively.In theory,a relatively complete equity fund performance attribution process was achieved.This paper takes the Insight Great Wall CSI 300 and Harvest CSI 300 Enhanced Two Equity Funds as an example,under certain assumptions,conducted a detailed attribu-tion analysis.The traditional Brinson model attribution analysis results show that both funds mainly rely on stock selection to obtain excess returns,and in terms of industry configuration,the Invesco Great Wall CSI 300 Fund controls the industry more strictly.The empirical results of Brinson's industrial factor regression replication model show that this model accurately implements the use of regression to replicate the Brinson model,giving the regression coefficient an intuitive financial significance.The Brinson multi-factor model attribution results further validate the stock selection as the main source of excess returns for both funds,and in terms of style,the deviation of the two funds from the benchmark is relatively small,and overall it is difficult to obtain contin-uous significant style in terms of style.The excess return shows that the style rotation is more difficult than the industry configuration.Finally,due to the availability of data,under the strong assumption of unchanged positions between the mid-year report and the annual report,the multi-period attribution results of Frongello and GRAP indicate that in the long-term,both funds have achieved a share selection.Significant and sus-tained excess returns,but excess returns on industry configuration and style rotation are difficult to sustain.And based on the theoretical thinking of the model and empirical analysis results,the Frongello model has many advantages over the GRAP model in multi-stage attribution analysis:First,the Frongello model does not generate future re-turns attributed to past problems;Second,the results of the Frongello model are more robust.When the number of investment periods increases,the results of the existing attribution of Frongello do not need to be recalculated.This paper shows that the multi-period Brinson multi-factor model has good prac-ticability in the analysis of stock fund performance attribution through model research and empirical analysis,especially for the fund's internal analysis and evaluation of fund performance has certain reference significance.