Analysis Of Fund Manager's Timing Ability And Securities Selection Ability Based On Threshold Model

Fund has become an important part of capital market in China.It is an important direction for Chinese residents to carry out financial management and asset allocation.On the one hand,what is the effective level of capital market in China? Can fund managers beat the market to get excess returns? It has always been a hot topic and a controversial topic in academic research.On the other hand,what kind of funds can achieve excess returns? Does the excess return come from the ability of fund managers to choose time and securities? How to evaluate the investment performance of the fund scientifically? They are also worthy of in-depth study and discussion.Therefore,it is of great theoretical and practical significance to study the timing ability and securities selection ability of fund managers.Based on the analysis and summary of the domestic and foreign literatures on the securities selection ability and timing ability of funds,this paper starts with four factors affecting the performance evaluation of funds,such as fund type,capital market type,time frequency and fund dimension,and then screens 15 funds with similar size from Chinese market and American market respectively to form six fund portfolios.The daily data of the above portfolio from January 2006 to December 2017 were used to study the timing ability and the securities selection ability.Considering the actual decision-making habits of fund managers,this paper focuses on the research of trend timing ability of fund managers,and innovatively introduces threshold model to improve trend timing theory.At the same time,four state trend timing models are innovatively proposed on the original bull-bear trend timing model,and we use three-factor HM model,bull-bear trend timing model and four-dimensional trend timing model to make comparative empirical analysis.The empirical results show that the bull-bear market trend model and the four-dimensional trend model are obviously better than the traditional two models.It shows that the trend timing is more in line with the actual decision-making habits of fund managers and has strong theoretical explanatory ability.At the same time,because of the different degree of financial market development between China and the United States,the timing ability and the securities selection ability of the same type of securities funds also have obvious differences,while the timing ability of American fund managers is generally better than that of Chinese fund managers.In addition,in the same market,stock,bond and hybrid funds also show different characteristics in timing ability and selection ability.That is,the stock market timing ability of stock and hybrid funds is more significant,bond funds show negative stock market timing ability.