Industry Allocation,Investor Attention And Fund Performance

Open-end securities investment fund has become one of the most important wealth management tools in the financial market.In September 2001,China's first open-end fund was established.In June 2004,the �Securities Investment Fund Law� was promulgated.Since then the variety and number of funds have been growing rapidly.By the end of 2018,the total number of open-end funds in China reached 5,147.The net value totaled 12.8 trillion yuan,accounting for 99.12% of the total net asset value of public funds.In 2000,China's per capita gross national income(GNI)has entered the level of middle-income countries.As national wealth increased,the demand for wealth management continued to rise.However,at present,China's resident asset allocation is still dominated by real estate and deposits.The proportion of financial assets such as stocks,funds and bonds are relatively small,only 11.8%.There is still much room for development in the securities investment fund industry.According to whether the fund manager aims to achieve performance that outruns the market,open-end funds can be divided into active management funds and passive management funds.Active management funds invest more in the stock market,and passive management funds are index funds which aim to achieve the performance of a particular index.Although the total net asset value of open-end funds has increased year by year and the number of active management funds has increased,the scale of active management funds has narrowed.The performance of active management funds is sluggish.In 2018,the average return rate of hybrid funds is-14.19%,and the average return rate of equity funds is-25.43%.In the same period,the Shanghai Composite Index rose by-24.59%,and the monetary fund yield was 3.50%.The performance failed to outperform the market.The other side of the downturn is the high management costs.At the end of 2017,the main component of the active management fund,the hybrid fund management fee,totaled 24.2 billion yuan,which was 56% higher than the total amount of the largest monetary fund management fee in the open-end fund.The phenomenon of high management fees and low yields of active management funds gives rise to a question of whether active management funds are worth investing in.The essence of investing in active management funds is the management skills of investment fund managers.The managerial skill of the fund manager means that the fund manager forms a portfolio by matching the stocks with higher expected returns and seeks to exceed the market average yield to defeat the market.The management skills of fund managers are mainly reflected in the following two levels: First,the choice and timing ability at the individual level;Second,the choice and timing ability at the industry level.Industry allocation is part of the priority decision in fund investment decisions.Different from the view of �diversified investment to diversify risks�,the fund manager's concentrated investment in an industry reflects the information superiority and competence of the fund manager.Most of the active management funds with top performance are equipped with the current strong industry sector,and the performance of the fund is closely related to the choice of the industry.It is necessary to evaluate the ability of fund managers from the perspective of industry allocation.There has been a large amount of literature on fund managers' ability in the individual stock level,and there is relatively little research on the industry's allocation ability.On the other hand,China's fund industry started late.Limited by China's fund share disclosure system,a fund discloses its top ten stock holdings are every quarter,and all stock holdings every six months.This hinders the research on the allocation of China's fund industry.Faced with the rapid industry sector rotation of the A-share market,it is necessary to estimate the monthly industry allocation of a fund to more accurately assess its manager's industry allocation capabilities.As another important player in the fund market,the behavior of fund investors is also worth noting.In the process of continuously expanding the number of funds,in order to attract investors' attention,fund companies often devote new funds to relevant concepts during the period when hot topics emerge in the market.These hot topics include: hot-topic industries in the A-share market,star fund managers,and hot business forms.Since fund companies' strategy often prioritize focusing on market hot topics and attracting investors' attention,how will investors react? In this context,whether fund investors' concerns and emotions can bring positive capital inflows to the fund and whether it can affect the fund's performance is the second question that needs to be answered in this paper.This issue is not only related to the interests of investors and fund companies,but also has important theoretical significance for understanding the operation of the fund market.Behavioral finance provides a powerful theoretical basis for analyzing and understanding the influence of investors' psychology and behavior on the securities market;network big data provides a feasible realistic basis for portraying investors' psychology and behavior.We look at the postings and replies from investors on Tiantian Fund.com,the largest online fund trading platform in China,and we found that during the periods when hot topics are prevalent,the number of postings and replies of funds related to the topic increased significantly.If further based on the investor's sentiment reflected in the content of the post,we can divide the posts into three categories: "positive","neutral" and "negative".These data provide sufficient feasibility for analyzing the psychology and behavior of fund investors in this paper.This article includes two main aspects: one is the behavior of fund managers: industry allocation behavior;the second is the behavior of fund investors: attention and emotion.The first part is the introduction,which lays out the background of the topic,research ideas and methods,and the innovative ideas this paper brings about.The second part is a literature review,which mainly includes the fund manager's active management ability,fund manager industry configuration,investor concerns and emotions.Firstly,the paper expounds the theoretical basis and evaluation indicators of the fund manager's active management ability,and combs through the metrics of the fund manager industry allocation ability in foreign related literatures.Secondly,this paper reviews the research literature of investor attention and emotions including investor attention and emotional behavioral finance theory basis,traditional big databased investor attention measurement methods,internet big data-based investor attention measurement methods,transaction data-based investor sentiment measurement methods and investor sentiment measurement methods based on large internet-text-data.Considering the current research trends,this paper also summarizes the research on empirical asset pricing based on internet big data mining.In the review of the theoretical basis,it elaborates the limited attention theory,prospect theory of behavioral finance,acquired bias theory,overconfidence theory and disposition effect theory.Based on the explanation of relevant research theories and methods,this paper makes an empirical analysis and test.In the third part,due to the fact that detailed position information of the China market fund portfolios is not disclosed,we have no means to make an accurate estimation of the industry allocation weights.A set of return-based models in the state space is proposed.The Kalman filtering method is used to approximate the active type.The fund's industry allocation ratio,and then build industry concentration indicators and industry activity indicators.Using the data of the rate of return and stock returns of China's active funds from 2004 to 2013,this paper empirically tests the relationship between industry concentration and industry activity and fund performance and net capital inflows.The results show that industry concentration and industry activity are positively related to the performance of the fund;while industry concentration can not significantly affect the fund's net capital inflow,the industry activity and the fund's net capital inflow have a significant positive relationship.This shows that compared with the industry concentration index of the industry allocation situation at a certain point in time,the industry activity index of the industry allocation of the measurement fund over a period of time can more fully and accurately reflect the fund manager's operational capability at the industry level.In general,the fund manager's industry selection ability is stronger than the timing ability.The fourth point of this article uses the daily fund online fund to target more than 3.63 million posts published by common stock funds and hybrid funds and invests investors to pay attention to indicators.The empirical results show that investors in the last quarter of last quarter have a significant positive impact on the net inflow of funds in the next quarter,and the more obvious the average share of funds held by each household is,the more obvious it is.Further analysis found that investors' attention will also affect the fund's performance by changing the behavior of fund managers.When investors pay more attention to the increase,the fund manager will reduce the proportion of investment in small and medium-sized stocks in the Awkwardness,which will result in the decline of fund performance.In order to further study the relationship between sentiment and fund performance,the fifth part firstly extracted the text sentiment from the web posting and analyzed the emotional bullish index and emotional divergence index by using methods similar to Gruber(1996)and Zheng(1999).The ability to predict the performance of the fund,the study found that the research results show that from January 2007 to December 2016,investors' bullish sentiment can positively predict the net inflow of funds and performance of the fund in the next quarter,from the perspective of investor sentiment It proves the fund selection ability and �smart money effect� of fund investors.At the same time,the emotional disagreement of investor sentiment can negatively predict the net inflow and performance of the fund in the next quarter.A bigger emotional disagreement does not promote more transactions in the fund market.On the contrary,when the degree of emotional consistency is higher,the net inflow of funds will increase significantly.The higher the degree of emotional divergence,the lower the excess return rate of the fund's risk factor adjusted in the next quarter.As can be seen from the above,the fund has invested and demonstrated a certain amount of fund selection ability.The innovation of this paper is mainly reflected in the following aspects:1.Make an accurate estimate of the fund industry configuration.In this paper,a set of return-based models in state space is proposed,and the Kalman filtering method is used to approximate the industry allocation ratio of active funds.This set of estimation methods enables the analysis of fund managers' capabilities from the perspective of industry configuration.Industry allocation is the part of the priority decision in fund investment decision-making,which is closely related to fund performance.The research has outstanding practical significance.2.This paper directly measures the concerns and emotions of fund investors and fills the gaps in the literature.Online big data,which focuses on stock investor attention and stock investor sentiment,has attracted the attention of financial researchers.In the research on fund investment,although domestic and foreign scholars have made extensive analysis on the impact mechanism from the perspective of reducing the cost of investor search.But there was no direct evidence of increased investor concern,and investors' attention was measured in an indirect way.Based on the posts,this paper measures fund investor attention and sentiment.Compared with the traditional literature,this paper makes full use of the discussion of netizens in the single fund sub-forum in the forum,which can directly test the investment.3.This article is the first attempt to link investor attention to the performance of securities investment funds.At present,the research on the fund market from the perspective of investor attention and search cost focuses on the net inflow of funds.It is generally ignored that changes in investor attention will also affect fund managers' risk appetite and portfolio selection,thus further affecting fund performance.This paper attempts to fill a gap between investor attention and fund performance,enrich the research on social interaction and fund performance in behavioral finance,and deepen the academic understanding of open-end fund asset pricing.