Research On The Effectiveness Of Momentum Strategy In FOF Investment

From the end of 2016 to the middle of 2017,China Securities Regulatory Commission issued and implemented the "No.2 guideline of The Public offering of s fund " and "The guidelines for the examination of FOF",which is the marking of The FOF will enter the Chinese public investor's perspective.Combined with the development of FOF in developed market,FOF will have a significant impact in China.For this new fund,in this paper,on the basis of annual report of the fund,the semi annual report,and the quarterly data,the author study all the stock,and hybrid funds on the market,use the momentum strategy and choose the income rate and growth rate of combined standard deviation the reference standard,combined with one the subject of investment can not be higher than FOF 20%of the fund's total assets.On the basis of 2016 date,and arranged all the possible periods to study their earnings and risk characteristics.Through the empirical analysis,the combination of 3 month and the holding period of 3 month is highest than the other combination in the same period.It is indict that the performance of fund is persistent in a short period,and with momentum characteristics.But the benefit is impact by the final systemic risk.The conclusion of this paper provide a theoretical reference for the research of a sub-strategy in FOF investment strategy.