The Relation Between Managers Informational Advantages In Industries And Performance Of Mutual Funds

Mutual funds managed 8.83 trillion RMB assets in China at September,2016,it is a vital part in China financial capital market.The argue that actively managed mutual funds than market better or worse is persistent.In fact,mutual funds manager select stock ability is different.When mutual funds manager in industries where they have informational advantages,in order to excess earnings to market,they will concentrate their holdings in industries where they have informational advantages,so these mutual funds holdings portfolios is more concentrate to market portfolios.Based on the fund holdings define Industry Concentration Index(ICI)measure of mutual funds manager industries informational advantages by abroad scholars.The paper argue that Industry Concentration Index measure mutual funds manager industries informational advantages is inaccurate.Our study Industry Concentration Index of actively managed China mutual funds 15,328 quarterly sample from October,2004 to September,2016.Our results indicate that current period ICI will be interferenced by last period ICI significance positive influence,current period market emotion significance negative influence,current period mutual funds manager assessment of pressure significance negative influence.Therefore,our define adjustment Industry Concentration Index(AICI)measure of mutual funds manager industries informational advantages by eliminate interference from last period ICI,current period market emotion,current period mutual funds manager assessment of pressure.And research the relationship between current period mutual funds performance and AICI.We use fund net growth rate,CAPM-based,Fama-French three factor-based,Carhart four factor-based four performance measures.We study indicate that positive between current period four performance measures and current period AICI.This finding suggests that mutual funds manager achieve excess earnings to market by industries informational advantages.Finally,We study indicate that significance positive between performance measures of fund net growth rate,Fama-French three factor-based and current period AICI.This finding suggests that AICI have the ability to predict future fund performance in a certain extent.The paper has five point contribution.First,the paper define Adjustment Industry Concentration Index(AICI)measure of mutual funds manager industries informational advantages by eliminate interference from last period ICI,current period market emotion,current period mutual funds manager assessment of pressure.Second,the paper provide guidelines for individual invester select mutual fund and CSRC confirm supervision object.Thirdly,the paper provide evidence for demonstrate China capital market whether is a efficient market.Fourth,the paper provide guidelines for FOF institutional investor design investment portfolio.Fifth,the paper systematically introduces fund net growth rate,CAPM-based,Fama-French three factor-based,Carhart four factor-based four performance measures.The paper have five point deficiency.First,the paper use sample inconformity from October,2004 to September,2016.Second,the paper lack variable new money growth(NMG)and expense ratio(EXP).Thirdly,the paper use sample is little.Fourth,no excavate all influence factor to current period ICI.Fifth,the interact influence between AICI and four performance measures in current period still existence.