Performance Evaluation And Attribution Analysis Of Partial Stock Mixed Fund

With the rapid growth of China's economy and the increase of national income,people's demand for expanding property income is more and more intense.In large asset allocation,securities funds attract more and more investors because of their low investment threshold,high yield,professional managers,regulatory norms,open and transparent investment channels and return information.After more than 20 years of development,public funds have become one of the most important asset management methods.There are few researches on the performance attribution analysis based on Fama French five factor model in China.Therefore,this paper selects 42 partial stock mixed fund,which are representative domestically,to evaluate and analyze the performance and attribution of the fund return from January 2013 to June 2019 from the perspective of a long cycle,which not only eliminates the "survivor bias" of fund managers,but also ensures the stability of A-share market policy during this period to eliminates the impact of policy change.In this paper,we select 42 domestic representative partial stock mixed public funds.Firstly,we evaluate the performance of the funds,and compare the return of each fund and the risk-based adjusted return.Then,this paper uses TM quadratic model and HM binomial model to evaluate the fund's timing ability and stock selection ability;uses Fama French model to further split the risk and investment style;and combines Fama French five factor model with TM quadratic model and HM binomial model to combine the fund's income source from scale factor,book to market ratio factor and profitability The part of factors and investment level factors are eliminated,so as to better evaluate the timing ability and stock selection ability of fund managers.The research results show that since 2013,the A-share market has risen in general.Most of the partial stock mixed funds are worth investing because they outperform the benchmark;most of the funds still have good excess return after risk adjustment.After using TM quadratic model and HM binomial model to explore performance attribution,we find that most funds lack the ability of timing and stock selection.By using Fama French five factor model,tm-ff five factor model and hm-ff five factor model,the excess return of the fund is further decomposed.It is found that some funds have significant scale factor,profitability factor and investment level factor,and almost all funds have significant book to market ratio factor,so it can be clear that there are more obvious factors in the fund.For the recognition premium effect,part of the fund's income is obviously from investing in growth stocks.In addition,part of the fund's income may come from stocks with small market value,weak profitability and low investment level in the portfolio.To some extent,this weakens the attribution of timing ability and stock selection ability to performance.