An Empirical Study On The Performance Attribution Of My Country's CSI 300 Index-enhanced Funds Based On A Multi-factor Model

The securities industry in China starts relatively later than advanced countries.At the beginning,most rules and regulations are learned from foreign mature markets.However,mutual funds are playing a much more important role in Chinese capital market compared with what they were ten years ago.When individual investors have to make their decisions based on simple and rough information,mutual fund companies can make investment decisions based on more solid research capacities,larger scales and more comprehensive information,and thus more profitable.Through studying how mutual funds getting excess return,we can give advises to both fund managers and investors.This article studies the performance attributions of CSI 300 Enhancement Fund based on Multifactor Model,and analyze the data through both the attribution of positions and the attribution of net value.This article first introduces the development of BF Attribution Model and Multifactor Attribution Model,and applies the BF Attribution Model,which is based on the large categories of asset allocation to the performance attribution of CSI 300 Enhancement Funds.Although BF Attribution Model is appliable in most cases,but the low frequence of the disclosure of funds' position data still causes challenge to the analysis' s accuracy.So this article do a second calculation based on industry data and using Industry factor Regression Model.The result is the same as the result using Brinson Industry Factor Attribution Model.Furthermore,investment style factor is introduced into the Brinson Factor Attribution Model to find the effect of stock selection,industry allocation and investment style factors to the excess return of mutual funds.This time,the calculation can use funds' net value data,which is more accseeible.Also,LASSO regression method is used to prevent certain cases.And by analyzing data through this model,the attributions of fund performance can be more thoroughly demonstrated.The article chooses 14 CSI 300 Enhancement Funds which are founded before 2016 as samples.These funds are divided into two categories: mutual funds picking stocks based on fundamental qualities and mutual funds picking stocks based on quantitative analysis.Through empirical research,this reaches three conclusions.Firstly,both of two types achieved excess returns compared with benchmark returns.Stock selection effect is the main source of this excess return.Mutual funds picking stocks based on fundamental qualities are more stable in stock selection compared with mutual funds picking stocks based on quantitative analysis,but mutual funds picking stocks based on quantitative analysis own the ability to achieve higher excess return.Secondly,mutual funds picking stocks based on quantitative analysis are more strick in controlling the industry dividends.Industry dividends may lead to higher return some time,but they can also cause more fluctuating performance.This indicate that industry allocation ability varies significantly in different mutual funds which picking stocks based on quantitative analysis.Thirdly,neither of these two categories are nutual in investment style.Investment style deviates little from benchmark in a bull market,but the situation will be quite different in a nutual or bear market.The deviation is more significant for mutual funds which picking stocks based on quantitative analysis.However,invesement style is unable to bring stable positive return to mutual funds,indicating that investment style is harder to obtain excess return for mutual funds compared with industry selection.This paper focus on the practice and application of multi-factor model,including BF Attribution Model and Brinson's Multi-factor Attribution Model.Also,dividing fund's return into different factors can enrich research cases in this field and provide supporting for decision making to both investors and fund managers.