The Evaluation of the Lucky Component of Open-End Fund Performance Based on Bootstrap Method

Abstract

Since the establishment of the first open-end fund in 2001, the development of China’s fund industry has never stopped. In the development process of nearly 20 years, people pay attention to the problems related to the fund, which are always the same in many fund products, how to identify the value of investment, which can make investors’ investment income optimal, and how to evaluate the fund’s performance. It is very important to evaluate the return of the fund. But in fact, the performance of the open-end fund is mainly affected by the fund manager and the fund’s own luck. The evaluation of the fund needs a more complete and comprehensive consideration. Based on some fund performance evaluation literature at home and abroad, this paper studies the large-scale stock fund in China, divides the sample database into index fund and active fund, and observes the influence of fund’s luck component on their performance respectively, and uses three models to fit, in order to consider the different ways of market interpretation of different models Different explanations of fund performance luck. The bootstrap method is used to simulate the effect of luck component of fund performance. Based on the four-factor model of Carhart, the sustainability of fund performance is considered by alpha ranking method. According to the empirical situation of the two kinds of funds, this paper analyzes the technical situation of the fund managers and the actual impact of fortuitous factors on the fund performance level, and then puts forward relevant suggestions for the participants of the fund market.