Industry Allocation,Clustering Degree and Fund Performance
Fund market is the most rapid development and largest financial investment tool of market economy countries in the past 20 years,the difficulty of fund selection is no less than the stock.However,most of the research on fund is the attribution analysis of fund performance,and few researches on fund risk from the comprehensive perspective of fund manager,fund market and investors.The research on fund selection strategy is even less.Firstly,based on the market model of US active fund management industry constructed by Feld-man et al.(2020),combined with the complex network method,the industrial allocation clustering index suit-able for measuring the development level of Chinese fund market is integrated,and the industrial allocation data are used to quantify the efforts of fund managers.On this basis,the optimization problem of fund managers and investors is proposed,and the quantitative relationship in equilibrium between industrial allocation clustering index and fund managers'efforts,as well as that between the index and fund returns is derived.Then the recursive degradation estimation method is used for empirical analysis.Lastly,based on theoretical derivation and empirical analysis,a fund selection strategy is proposed based on the efforts of fund managers,which improves the portfolio analysis framework of"Theory+Empirical+Strategy".The results of this paper can also provide reference for the research of FOF investment strategy.
ndustry allocationdegree of clusteringbalanced strategyfund selected
万方数据
维普
