The Empirical Research On The Performance Of China's LOF

Nowadays the development of China's open-end fund is in full swing,which makes it become one of the most popular investment tools for small and medium-sized investors.At the same time,it has also caused many scholars to evaluate and analyze its performance.The Listed Open-ended Fund(LOF)is proposed by Shenzhen Stock Exchange,which combines the advantages of closed-end fund and open-end fund,so studying its performance has more theoretical significance and practical value.For China's LOF fund,this paper uses the improved Carhart four-factor model to evaluate its overall performance,fund managers' ability of choosing stock and market timing,and the sustainability of performance.Considering that there are a series of abnormal phenomena in China's capital market,such as small-cap stock effect,book-to-market ratio effect,momentum effect and low-price stock effect,this paper creatively adds price factor to the traditional Carhart four-factor model,thus forming "Improve four-factor model".Firstly,after collecting the data of 44 LOF from July 2013 to June 2018 and comparing different factor models,we found the effect of using the improved four-factor model to evaluate the overall performance of China's LOF fund is significantly better than other models.Our LOF fund can beat the market and its overall performance is positive.Secondly,by combining the traditional TM model,HM model,CL model and improved four-factor model,we found our LOF fund managers generally have stock picking ability and timing ability.Finally,by constructing the LOF fund portfolio,we found the overall performance of our LOF fund is sustainable.This paper uses improved four-factor model to systematically analyze the performance of China's LOF fund,which helps investors of our LOF fund formulate correct investment strategies and also help fund managers optimize investment direction,gradually improving the overall performance of LOF fund in China.