Performance Attribution Analysis And Empirical Study Of China's Hybrid Fund

With maturity of China's financial market and improvement of people's living standard,the demand of wealth management and investment increases quickly.Featured by collective and professional wealth management,portfolio investment and shared interests and risks,fund is popular with investors and develops rapidly.No matter investors or fund companies,pay more attention to analysis of portfolio performance attribution.Based on multi-period Brinson model,this paper selects eighteen hybrid funds as samples,analyzing their performance attribution from 2014 to 2017.Not only at different levels,but also among different stock market cycle,this paper analyzes their performance attribution to get influence of different factors.Also,asset allocation was decomposed into static allocation effect and dynamic allocation effect,using dynamic allocation effect to measure fund manager's ability in active asset allocation.Besides,this paper proposes style-based fund performance attribution analysis,by comparing fund's attribution to benchmark portfolio based on stock style indexes,to get their performance attribution.This method helps funds manager analyze the allocation of stock with different styles and their performance attribution to meet fund's investment objectives.Results of empirical analysis show that the performance of eighteen funds is better than benchmark portfolio.At the macro-level,for almost all sample funds,attribution of security selection,which accounts for 90 percent,is more than that of active asset allocation.Sample funds have better attribution of stocks selection,but worse attribution of bonds selection,which is always negative.Besides,dynamic asset allocation varies with stock market cycle.Always,fund managers have better dynamic allocation performance in bull market and dynamic allocation effect of stock is amazingly higher than that of bond.Indeed,stock market cycle impacts funds performance.On the one hand,different funds have different investment styles;on the other hand,for most funds managers,their abilities of dynamic asset allocation and security selection vary with market cycle.At the middle-level,attribution of industry selection is more than that of active industry allocation.So attribution of security selection and industry selection,including stock selection and timing ability,is significant for fund performance.In industry allocation,manufacture has great performance attribution,while finance and real estate have less attribution.For manufacture,fund managers have better performance,no matter in industry allocation and stock selection,but it is different for finance.The result of style-based performance attribution shows stock selection is still the main part in fund's return,comparing with benchmark portfolio based on style index.Different fund has different investment style,which can be seen from this model and give you a graph about funds performance attribution for each style.This paper is useful to give suggestions to investors and fund companies.For investors,the model helps you know the style of funds and the ability of fund managers,deciding to invest which fund.For fund companies,it also helps to ensure the attribution of each part or department.