The Effect Of Turnover On The Performance Of Actively Managed Funds In China,from The Perspective Of Security Selection And Market Timing Skills

In the trends of institutionalization of securities investment,mutual fund,as an investment tool of collective management and professional management,is the most optional investment channel for the majority of small and medium investors in China.In theory,the professional fund managers have security selection and market timing skills,and can enhance the fund's performance through frequent stock trading,buying undervalued stocks or selling overvalued stocks at the right time.Therefore,it is very important to explore the effect of turnover on the performance of actively managed funds in China and verify whether it is a kind of managerial skills behind it,from the perspective of security selection and market timing skills.Firstly,based on the simple descriptive statistics on the characteristics of the sample funds,return,turnover rate and other related variables,we use the panel data model to analyze the effect of turnover rate on subsequent fund return.Secondly,we use the FF3-TM model to calculate security selection and market timing skills of each sample fund,and group by the sample funds with these two skill indicators.And we use the panel data model to analyze the effect of turnover rate on subsequent fund return in different groups,to explore the changes of coefficients of turnover on subsequent fund return in different skills and in different skill-levels.Finally,the empirical results show that,on the whole,the coefficient of turnover on subsequent fund return is positive and significant,and this positive correlation is characterized by"time series".From the perspective of security selection and market timing skills,we find that the greater the security selection and market timing skills,the bigger the coefficient.Therefore,we conclude that a fund's turnover promote its subsequent performance,and this promotion is a reflection of security selection and market timing skills of fund managers.This conclusion provides investors with an explicit investment reference,but also provides management advice to fund managers'investment behavior.