Performance Evaluation And Attribution Analysis Of LOF Funds In China

In recent years,open-end funds have their own unique advantages of low investment threshold,excellent management system,low investment risk and stable returns,which have been respected by more and more small investors.LOF fund(listed trading open-end fund)in making up for the high open-end fund trading costs,issuance difficulties and intraday timely trading difficulties,by many investors in the fund market wide attention.Therefore,performance analysis and attribution analysis of LOF funds plays an important role in optimizing asset portfolio and improving investment level,quantitative analysis of fund manager performance level of fund companies,and timely discovering potential risks in the LOF fund market by regulatory authorities.Mainly from the following aspects:(1)LOF fund performance evaluation,Based on the traditional Sharp Ratio,Jensen Alpha,and Treynor Ratio,Information ratio and revenue retracement ratio are auxiliary methods,Analyze the performance of index and non-index LOF funds and select excellent performance fund products;(2)Continuous analysis of LOF fund performance,With the ranking of the LOF fund Sharp ratio in(1),The Spearman’s correlation test was performed,To analyze whether the performance of a target fund is sustainable,Then analyze the sustainability size of both exponential and non-exponential performance;(3)Performance attribution of the LOF fund,First,the external evaluation method,That is,using C-TM,C-HM and C-CL models to analyze fund performance derived from managers’ stock selection or timing ability,Second,the internal evaluation method,Using Brinson model to analyze the excess return of LOF fund derived from asset allocation effect or individual stock selection effect,And analyze whether the proportion of the two distribution is reasonable.The empirical results show that the overall performance of non-index LOF funds is better than index LOF funds,;all LOF funds rank correlation coefficient greater than 0,and fund performance is sustainable;LOF fund managers have certain stock selection ability,lack timing ability,and 90% of the excess return of the fund comes from the stock selection effect.