A Dynamic Study On The Timing Ability Of China 's Open - End Funds

As the representative of open-end fund, equity open-end fund always get the favor of experts and scholars. Its share –choosing and time-choosing ability is also a hot research field, share-choosing and time-choosing ability are two important aspects of fund manages’ ability to manage. Share-choosing ability is to reflect weather fund manager own the ability to master one stock’s price, which called micro predict ability. Time-choosing ability also called manager’s macro ability to predict, that is to judge the trend of stock market of fund manager. In our country, researches are stopped at the state of static, and some of the scholars have began to start with research on the state of dynamic.This paper select 49 equity open-end funds which established before 2006 as sample, choose January 1, 2007 to March 31, 2014 as sample period, to research sample funds’ share-choosing and time-choosing ability. First of all, we found momentum factor can explain fund performance very well by comparing the result of three factor model and four factor model. So we choose TM-Carhart4 model and HM-Carhart4 model as this paper’s basic model to analysis funds’ share-choosing and time-choosing ability, which combine Carhart4 model with T-M model or H-M model which are classical share-choosing and time-choosing models. In the dynamic research part we select time varying coefficient TM-Carhart4-factor model and HM-Carhart4 model which use time as parameter variable, to analysis funds’ ability. We find out dynamic model result is much better than static model result, and the change path of funds’ share-choosing and time-choosing ability is related to market trends. After that, we divided the time into several stages and found the ability of funds is correlate with market trends and stock index, they do well during bull market, dad during bear market. Funds do excellent when market trends is clear, and bad when market trends is not clear.Then, we choose the best three funds as representatives of star funds and worst three ones as representatives of “bad funds”, based on the result of top 7 authorities of rating firms. We find out star funds are prefer to own better share-choosing ability and parts of samples’ time-choosing ability can turn better after implementation of some supportive macroeconomic policies follow the Financial Crisis, through the contrast between the change trends of share-choosing and time-choosing and backgrounds of macroeconomic or between its current situation and operating conditions of its choosing share during holding time. We choose 4 funds’ families as examples to analysis funs’ macro and micro economic reason of share-choosing coefficient’s and time-choosing coefficient’s change which are come from the same family. We find star funds’ share-choosing and time-choosing ability is better than bad ones, but they can continuous or not last from long-term view. Funds from the same family prefer owing similar ability of share-choosing and time-choosing to a certain degree, similarity is higher if funds charged by the same manager than different, the difference is more obvious between funds when they belongs to different fund family. Otherwise, funds which own good share-choosing ability can predict its’ holding stock’s price trends well.At the end of this paper, we made a conclusion to this article and point out some innovations, such as putting time varying coefficient models in practice of funds’ dynamic research, and combine the result with macro and micro economic background to find out changing reasons. Otherwise, shortages of this paper are also pointed out, and we hope to be improved in the future. Furthermore, we take an outlook to the development of the funds share-choosing and time-choosing ability research.