Research On The Asset Allocation Ability Of Open-end Funds In China

In recent years,domestic fund products have won the favor of the majority of ordinary investors.The fund industry has developed rapidly,the investment varieties have been constantly enriched,and the regulatory system has been constantly improved.But there was some problems for how to understand the excess return of funds,and how to evaluate fund performance for effective management,and how to choose the best suitable for their own investment funds effectively and how to supervise the fund industry effectively.To solve these problems,this paper starts with the analysis of the asset allocation ability of open-end funds,puts forward the more perfect and more suitable for the domestic financial market of open mode fund asset allocation ability assessment framework from the perspective of theoretical analysis and empirical analysis,and get the corresponding empirical analysis conclusion.It has important theoretical and practical significance for fund managers,investors,regulators and research scholars.In theoretical analysis part.Firstly,the development status and existing problems of China's open-end funds are analyzed,the relevant definitions of asset allocation capacity are given,and the basic model BHB attribution model and improved Carhart four-factor model required by this research are sorted out.Secondly,combined with the development status of domestic open-end funds,the definition of asset allocation capacity and the basic model,the research framework of asset allocation capacity of China's open-end funds is derived.The strategic asset allocation capacity research part is based on the improved BHB model,including time series analysis and cross-section analysis.The tactical asset allocation ability research part to improved Carhart four-factor model as the foundation,and combining the traditional Carhart model to carry on the empirical analysis,include timing ability and stock selection ability analysis.At the end of the theoretical analysis,the practical application of the research framework of fund asset allocation capability in China is given.In empirical analysis part.Carries on positive analysis According to the research framework of fund asset allocation capability in China.Firstly,an empirical analysis is made on the strategic asset allocation ability of China's open-end funds by using the improved BHB attribution model.The conclusion is that China's strategic asset allocation ability is relatively weak compared with that of foreign countries,and the difference in strategic asset allocation ability between different funds also contributes far less to their performance differences than that of foreign countries.Secondly,using the improved Carhart four-factor model to study the tactical asset allocation ability of China's open-end funds,the conclusion is that China's open-end funds have remarkable stock selection ability and timing ability.Generally speaking,the development of asset allocation ability of open-end funds in China is not balanced,the strategic asset allocation ability is weak while the tactical asset allocation ability is strong.Finally,the research framework of this paper is applied to obtain the comprehensive ranking of asset allocation capacity of selected funds.The management implications of improving the asset allocation ability of China's open-end fund is put forward combined with the conclusion of theoretical and empirical analysis.From the aspect of government supervision and management,it is necessary to broaden legal investment channels and strengthen effective supervision.From the aspect of fund internal management,it is necessary to improve the fund investment management system and improve the asset allocation concept of investment managers.