Empirical Study On The Momentum Reversal Strategy Of Open-end Fund And Its Performance Evaluation In China

Securities investment fund has become an important way of investment capital market in China.More and more investors invest fund have became a main way of investment.At the same time open-ended fund become the mainstream in the fund market.Therefore,which investment strategy should be adopted? How does fund investment strategy affect fund performance? These problems are attracting more and more scholars and investors.So,it is important to strengthen research on investment strategy and its performance.This paper studies the momentum reversal strategy in the open fund investment strategy.The paper reviews relevant theories and empirical researches on the momentum reversal strategy of securities investment fund.We have adopted a GTM model that is generally accepted by investors,so as to adapt to China’s national conditions.In terms of data,29 open-ended funds were randomly selected from domestic open-ended funds from 2015 to 2017.The T test and quantity statistics were carried out on the momentum reversal investment strategy.It is used to determine which investment strategies domestic fund managers prefer to use when making investment decisions.In terms of fund performance,the net value of the fund and the sharpe index are used to measure it.In addition,correlation analysis and regression analysis were conducted between the measures of momentum reversal investment strategy and fund performance measures.Through empirical research,it has been found that most funds generally prefer to pursue a rising investment strategy based on the performance of individual stock prices this quarter,while also reducing the stocks that have performed well in the last quarter.Fund managers to increase this quarter performance good stock strategy can improve fund performance,reduce the quarter performance of the stock and its historical performance good strategy will damage the fund’s overall performance;Fund based on the past performance of individual stocks in pursuit of the strategy will also hurt the fund performance.Using momentum investment strategy has positive influence on fund performance.The higher the fund manager USES momentum investment strategy,the better the fund’s performance level.Reverse investment strategy and the growth rate of fund net value coefficient between negative,indicates that the degree of fund managers use reverse investment strategy is higher,the lower the value of the fund net value growth rate,which means to reverse investment strategy will damage the fund net value growth rate has increased,which will damage the fund performance.