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An Empirical Study On Fund Asset Allocation

Posted on:2015-07-17Degree:MasterType:Thesis
Country:ChinaCandidate:D WangFull Text:PDF
GTID:2279330464459721Subject:Finance
Abstract/Summary:PDF Full Text Request
In recent years, China’s fund industry had a rapid development. Asset allocation, as the fundamental step of investment process, its impact on fund’s yield has been always on focus. Earlier studies have shown that strategic asset allocation plays a decisive role on the Fund’s investment performance. However, in the practical world, we found that most fund management companies pay more attention to tactical asset allocation capability instead of strategic asset allocation capability. We are curious about the differences between academics and practitioners. Which capability has larger influence on fund’s yield, strategic asset allocation or tactical asset allocation? What factors will affect the ability of the Fund’s asset allocation? As for Fund management companies, how to more effectively assess and appoint a fund manager? This paper selects 76 stock funds with over 8 years life span, decomposes the fund’s yield with BHB model-based framework, and analyzes the impact of strategic asset allocation and tactical asset allocation on the fund’s investment performance. After that, we use dynamic panel data to further examine the factors that determine fund’s tactical asset allocation ability. Then, from the perspective of the fund manager, we try to measure the fund manager’s ability on asset allocation and study the personal characteristics of the fund manager’s impact on its asset allocation performance. Our empirical research results show that, (a) Strategic asset allocation capability only accounts 33% for fund’s performance, which is much smaller than expected.(b) As for tactical asset allocation, the larger risk the fund bears, the higher yields it can get, no matter which style the fund is. The fund with heavier risk preference will obtain excess returns more likely; as for allocation ratio on shares holding, fewer stocks will bring more income. As a result, to issue more fixed income product should be the right way; As for the past fund performance’s impact on the current period, the fund managers’security selection ability is highlighted; fund managers will adjust their expectation based on the past increase of the top 10 holdings; regarding the intent to achieve excess return through changing fund manager, it is only suitable for stock-picking fund without market timing.(c) In a word, the fund manager’s asset allocation ability is determined mainly by its professional capability (Market timing ability and security selection ability) and experience qualifications (fund size and the number of days worked), while personal characteristics (gender and education background) have little to do with.
Keywords/Search Tags:strategic asset allocation, tactical asset allocation, market timing ability, security selection ability, fund managers
PDF Full Text Request
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