Performance Attribution Analysis Of Stock Fund

With the increase of the wealth of our residents,the investment and wealth management needs of the residents are also increasing.At the same time,the size of the public fund market continues to grow,which provides investors with more abundant investment and wealth management products.The performance analysis of public funds cannot be ignored.Fund performance analysis can not only help investors find fund products that suit their own preferences,but also help fund companies and fund managers understand the factors that affect fund returns and the pros and cons of these factors,correct investment behavior,and improve fund performance.Provide reference for regulators,implement effective regulatory measures,popularize fund investment knowledge to investors,improve investors’ investment awareness,and protect investors’ interests.This paper studies from two perspectives of stock fund holdings and net worth data.Based on stock fund positions,the Barra model is used to construct style factors of momentum,scale,liquidity,volatility,valuation,dividends,growth and quality,and analyze the source of income,investment style and its returns are affected by style factors of stock funds.Based on the net value data of stock funds,using the Sharpe model,using market capitalization and growth(value)to form six styles,using the largecap(growth)value,mid-cap(growth)value,and small-cap(growth)value index to describe these six styles,Analyze the allocation of stock funds in these six styles.In both perspectives,case analysis and sample statistical analysis are used.The conclusions of this study are as follows:Through Barra model,it is found that the returns of equity funds can be explained by eight types of style factors.From the perspective of the exposure of style factors of equity funds,equity funds choose stocks with different characteristics,and their preferences are relatively stable in some periods of time.Through case analysis,it is found that E Fund Consumption Sector Equity Fund and ChinaAMC SSE Consumer Staples ETF Initiating Fund,preferring to invest in large-scale and highly liquid stocks throughout the period.The sample statistical analysis shows that stock funds mainly invest in low momentum,large-scale and high liquidity stocks,and momentum,scale,volatility and growth factors have a multi period positive impact on the returns of stock funds.Through Sharpe model,it is found that the investment style of stock funds is stable for a period of time;But as the market changes,its investment style changes.Through case analysis,it is found that E Fund Consumption Sector Equity Fund preferred mid market value stocks from the first quarter of 2011 to the third quarter of 2011,and mainly preferred to invest in large market growth stocks from the fourth quarter of 201 7 to the fourth quarter of 2020.Through sample statistical analysis,it is found that stock funds prefer to invest in small cap growth stocks from the first quarter of 2015 to the third quarter of 2016;From the fourth quarter of 2016 to the third quarter of 201 8,they prefer to invest in mid market growth stocks;From the fourth quarter of 2018 to the fourth quarter of 2020,they prefer to invest in large market growth stocks.Throughout the period,equity funds mainly prefer to invest in large market growth stocks.