Research On The Relationship Between Investment Strategies Of Open-ended Fund Managers And Fund Performance Based On Behavioral Science

The skill of fund managers has an important impact on the performance of the fund,but because the target of the fund investors and fund managers is not exactly the same,the fund managers often do not put their focus on the fundamental interests of the investors in the investment management.Since the beginning of 2008,the market has turned into a bear market,and the overall performance of the fund industry has been extremely weak.How to analyze and evaluate the investment behavior of the open-ended fund managers in our country comprehensively,accurately and scientifically,and then to excavate the factors that affect the performance of mutual funds and to seek the measures to improve the performance of the fund and the skill of the fund managers are the focal points of the mutual concern of the fund investors,fund managers and fund supervisors.For those reasons,based on the impact of fund managers' investment strategy on fund performance,this paper makes a strict distinction between the concept and extension of the ability of the open-ended fund managers and fund performance in the concept and extension,thus building a framework for the research on the investment behavior of the open-ended fund managers.A non-parametric test method is introduced for the first time to analyze the value added of funds,and the ability of open-ended funds in China is analyzed in detail.Then,based on the perspective of behavioral science,this paper analyzes the impact of investment management activeness,asset allocation concentration and fund manager risk-shifting incentive in the fund manager investment strategy on fund performance.The main research contents and achievements are as follows:Firstly,we measure the skill fund managers by the added value of the fund,using the binomial method to test if the skill of the fund managers exists,and construct the skill index to test whether the fund investors can identify the skill of the fund managers and whether the strong fund managers can generate the high profit for the investors.The results show that most of the fund managers in the sample can gain a significant positive value added while the value added of the fund is statistically significant and persistent.Therefore,the skilled fund managers do exist.In addition,if the fund investors can choose the funds with highest index in advance,they will gain the highest risk-adjusted return in the future.Secondly,the relationship between fund activeness level and fund performance is studied by constructing funds dynamic portfolios and simulation analysis method.The influence of luck factors on fund performance is estimated by bootstrapping method,and the relationship between fund managers' activeness and fund performance is analyzed after eliminating the influence of luck.The study found that after eliminating the influence of luck factors,the fund managers' investment management behavior is more active,and the fund performance is higher.However,after the elimination of luck factors,fund managers do not get the excess return in the two groups with lower level of fund activeness.Then,we use the time series and panel data model to study the relationship between asset allocation concentration and fund performance.The research shows that the higher the concentration of the funds industry and the concentration of the stock,the better the performance of the fund after controlling the time of fund age,the scale of the fund,the rate of the fund,the volatility of fund performance and so on.Therefore,the industry concentration and the index of stock concentration can reflect the level of fund managers' skill.Finally,the paper analyzes the impact of selfish “risk-shifting” incentive of managers which is caused by the “agency conflict” between investors and managers on fund performance.The threshold autoregressive model and the piece-wise linear regression model are used to analyze the change of fund performance-flow relationship under different economic conditions,thus revealing the variation of t fund managers' risk-shifting incentive.It is found that the relationship of fund performance-flow is nonlinear in the upwards,but linear in the downwards.The fund managers will tend to reduce the risk level of the fund portfolios in order to achieve the goal of maximizing the fund scale,which will damage the interests of the investors.The paper theoretically analyzes the influence and internal mechanism of fund managers' investment behavior on fund performance,and constructs the theoretical framework of the relationship between fund managers' investment behavior and performance,which is beneficial to enriching and developing the fund performance evaluation theory.It breaks through the view that the fund performance model is used to estimate the fund manager's ability in the traditional research,and the skill index is constructed with the value added of the fund,and the binomial test is used to analyze the fund manager's skill and the application of the fund skill index.At the same time,unlike previous studies,when considering the level of activeness of the fund,we take the influence of luck factors into account to make the research more scientific and comprehensive.In addition,when studying the behavior of fund managers,the selfish risk-shifting incentive of fund managers is included in the study,which can more truly reflect the influence of the change of fund managers' strategy on fund performance.