Comparative Study On The Performance Of China's Quantitative Public Funds And Traditional Public Funds

With the development of computer applications,the direction of financial research has gradually changed from traditional financial research to the development of financial engineering.As a product of financial engineering development,quantitative investment has become widely concerned by fund companies because of its objective,rapid and comprehensive characteristics.The idea of quantifying investment is put into practice in the fund.According to statistics,since the first fund that adopted the quantitative strategy in the domestic market in 2004,Everbright Prudential Quantitative Core Fund,there was no new quantitative fund established in the public fund market in 2005-2008.There were only 23 in 2009-2014.The introduction of quantitative funds;from 2015 onwards,the speed of the issuance of quantitative public funds has increased.As of the beginning of 2019,there were 206 quantitative public funds established by wholesale banks and established.For investors,quantitative funds as an emerging product of the market,information is seriously asymmetrical,and the threshold of quantitative investment learning is high,it is difficult for non-professional investors to fully understand the way they operate,and cannot accurately assess risks and benefits.By comparing and analyzing the performance and influencing factors of quantitative funds and active management funds,this paper studies their benefits,risks and performances,which can provide investors with a fair and scientific basis for investment decisions,enhance risk awareness and scientifically choose to match themselves.A variety of funds with risk tolerance.This paper takes the non-index quantitative funds in the public market and the active management funds in the traditional funds as samples,and evaluates the performance of the two types of funds in the period from 2016 to 2018,and obtains comprehensive evaluation indicators.And the comprehensive evaluation index obtained is the explanatory variable,the fund manager's stock selection timing ability,fund holding concentration,industry concentration,net purchase rate and fund size are explanatory variables,and a multiple regression model is established.Mainly get the following conclusions:(1)Quantitative funds and actively managed fund samples do not perform as well as market mixes,both in terms of absolute return levels and risk indicators,and from risk-adjusted performance indicators.(2)From the perspective of absolute return level and risk indicator,the ratio of the dominant income of the quantified fund in the fund sample is not high,but in terms of risk,the ratio of funds with lower risk is higher,and the ratio of fund with higher risk is higher.Low;the overall income level of quantitative funds with similar establishment dates is slightly lower than that of active management funds,but the overall risk control is better.From the perspective of risk-adjusted performance indicators,the ratio of funds with higher risk-adjusted performance in quantitative funds is slightly lower,but the ratio of funds with lower risk-adjusted performance is also lower;The performance of the quantitative fund sample is slightly better than that of the actively managed fund sample,and the performance level of the quantitative fund risk adjustment with similar establishment date is also slightly higher than that of the actively managed fund.(3)This paper selects the six explanatory variables of the fund manager's stock picking ability,timing ability,fund holding concentration,industry concentration,net purchase rate and fund size.From the regression results,among the various factors affecting fund performance,the fund's stock selection ability has significant impact on the performance of quantitative funds and active management funds;industry concentration,shareholding concentration,and fund size are quantified.Fund performance also has a significant impact,which has a certain impact on the performance of active management funds,but not significant;the net subscription rate has certain impact on both quantitative funds and active management funds,but the results are not significant.