Fund Earnings Variation Study Based On Stock Picking And Market Timing Skills

As the size of the fund industry growing, industry development accelerated, funds are attracted more and more attention. Funds become a way of investing money. At the same time, there are more and more scholars study performance of the fund, the fund stock picking skill and market timing skill, etc. But currently empirical analysis of the fund stock picking skill and market timing skill have no unified conclusion, the duration of the fund income are also different. Facing numerous funds, investors may be difficult to choose. Investors questioned some poor fund, and even lose confidence on fund investment.That has made further research of fund income variety is more important and meaningful. Help more objective analysis of different types of fund earnings performance, help to fund development and related evaluation studies further, analysis of what kind of fund investment can bring great benefits. Can help investors better understand the fund, and even to serve the investors’ investment decisions.In order to more in-depth analysis of fund income variety, this paper will elaborate it from five angles. First angle from the stock picking and timing two different aspects, calculate stock selection ability and timing ability earning depending on the fund shareholding information and stock return. Calculate holding profits according to initial holding Calculate trading profits according to initial and en holding information. Second angle is according to the different time periods, such as different economic and market conditions, or the overall and two pieces time periods. Third angle is according to the different levels of fund income, combined with quantile regression method. Fourth angle is in accordance with the fund stocking or timing revenue classification, compare different types of funds revenue variety with other revenue. Fifth angle is in accordance with the fund stocking or timing revenue classification, whether different types of funds can get higher excess returns or not.Combined with the above five angles with the panel analysis. Empirical study is divided into five parts:The first part, from the whole time analysis funds picking and timing returns analysis to find that fund earnings change:dividing time according to the state of the economy, compared with economy is hot, when the economy is cool fund market timing yields gains, fund stock picking yields down.dividing time according to the state of the stock market, compared with stock market up, when the stock market down funds market timing yields decline and fund stock picking yields gains.The second part, the time is divided into two phases, found that earnings change:during two phases, fund income changes in the same direction, the change direction is same with the whole time. Earlier stage timing ability change is bigger, the late change decreases. And fund stock picking change direction is not exactly the same, in the later, the fund stock returns up when the stock market down.The third part, according to the different income level, analysis fund stock timing variation, finding that from different income levels in the different state change direction, most of the direction of changes is same with overall direction. From the size of change in different income level, analysis to find that earnings changes larger when income level is higher.The fourth part, according to the fund picking gains to classify, earnings highlight fund have higher stock returns than other funds, but the fund have lower picking income than other funds. when stock market up fund stock picking highlight funds, stock picking gains change biggest.According to the fund timing gains to classify, earnings highlight fund have more timing yield that is offset by lower picking yield. When the stock market down funds that have higher timing stage income, timing earnings changes greater.The fifth part, explore with excess returns to find. according to the stocking gains to classify fund, the fund that have higher picking business type income when economy encounter cold, have higher excess returns. according to the market timing gains to classify fund, the fund that have higher timing trade hold type income when economy encounter cold, have higher excess returns.even higher than the former.Innovation of this paper lies in calculating fund picking and timing gains, according to the stock returns and fund shares information. Each income are divided into hold and trade type, according to the calculation in a different way. Calculate trade type according to the fund initial and final shares information. According to different economic and market conditions, discuss the change of yield under different conditions. Classify fund according to the different conditions and gains. With a fusion of different stock markets or economic status, fund income is high or low income, stock picking or market timing revenue, analysis fund income changes further.