The Active Management And Fund Performance

It's thought that the stock market index can reflect the situation of the stock market in academic and industry,and the return rate of market index can represent the average return level of the market.The active management of fund is to make changes relative to the index in the space and time dimensions,so as to beat the market and obtain the excess return.The"stock-biased fund"in this paper refers to the traditional stock fund and hybrid stock-biased fund,which is an important part of the public fund market.Both investors and researchers are very concerned about a question that whether the active management of China's public offering stock-biased funds significantly improves the performance of the funds.On the basis of sorting out the previous theoretical foundation and empirical research,this paper selected the panel data of China's publicly offered stock-biased funds from2005 to 2018 to conduct an empirical study on the relationship between active management and fund performance.In order to avoid the influence of the endogenous relationship between active management and fund performance on the empirical results,this paper set the estimation period and the test period in the establishment of the empirical model.The active management index in the evaluation period was taken as the explanatory variable,and the rate of accumulated net value of the fund in the test period was taken as the explained variable for the regression analysis.In terms of regression method,this paper selects the mixed regression and fixed effect regression methods which are suitable for panel data.First,this paper uses the CSI 300 index as the unified benchmark to calculate the active management index,and conducts a regression analysis.The empirical results show that the active management degree of the fund has a significant positive impact on the fund performance.Then,this paper conducts group regression for value funds,balanced funds and growth funds.Among funds with different investment styles,active management of funds has a positive impact on fund performance.Next,the CSI 300 value index,CSI 300 index and CSI 300 growth index are selected as the benchmarks for calculating the active management indexes of value funds,balanced funds and growth funds.The regression results show that the active management of funds still has a significant positive impact on the performance of funds.Afterwards,this paper USES the excess return obtained by the five-factor model as the standard to measure the fund performance,and reaches the same conclusion.Active management has a good prediction effect on fund performance,and the higher the degree of active management is,the better the fund performance will be.Finally,this paper makes a further study from the perspective of the stock market cycle.Empirical research shows that active management has a significant positive impact on fund performance in bull market,bear market and volatile market when the fund performance is measured by excess return alpha.It can be seen that no matter in different stages of the market cycle,or in different fund investment styles,active management has a significant positive impact on the performance of stock-biased funds,and active management index can play a certain prediction role on the performance of funds.In order to ensure the robustness of the empirical results,this paper conducted the robustness test from four aspects:changing the explained variables,changing the explanatory variables,changing the frequency of the estimation period and the test period,and changing the clustering method of clustering robust standard error.The test results showed that the empirical results are robust.There are three main innovations in this paper.First,in previous studies on fund active management,only a unified benchmark was used to calculate the degree of fund active management,that is,comparing the differences of all funds with a certain index to determine the degree of active management of funds.However,investors buy different types of funds,take different risks,expect to obtain different returns,the benchmark index should also be different.Therefore,for different types of funds,this paper calculates the active management index based on different benchmark indexes,and then tests the influence of active management on fund performance.The unified active measurement standard is based on the unified starting line for comparing the degree of active management of different funds.Different active measurement benchmarks consider that investors who buy funds with different investment styles have different risk and return expectations,which is of more practical significance.Second,this paper takes both tracking error and R~2 as the measurement indexes of the degree of active management of the fund.Each of the two measurement methods of active management has its own merits.The degree of active management can be more comprehensive and effective by using both two indexes,and the empirical results are more robust.Third,this paper measures the fund performance from two angles.On one hand,for individual funds,the rate of accumulated net value is a good measure of fund performance.The cumulative net yields already deduct the management costs which the investors pay to the fund management company.And the historical income distribution of the fund has been restored.So,the rate of accumulated net value is a fair indicator available to investors.On the other hand,fund performance is not only the change of fund itself in the time dimension,but also is related to the overall market return performance.Therefore,it is necessary to measure the fund performance by the excess return rate of the fund.Previous studies mostly used excess return obtained by three-factor or four-factor model to measure fund performance.This paper innovatively calculated alpha based on the Fama-French five-factor model to study the influence of active management on fund performance.The two methods of measuring fund performance have their own advantages,using both methods can research innovatively and comprehensively.In conclusion,the main contribution of this paper is finding that the active management can effectively improve fund performance by using the latest public offering stock-biased funds data to do empirical study.This conclusion is true for funds of different investment styles and for different stages of the stock market cycle.So the degree of active management can be used as a good predictor of fund performance.The research ideas,methods and conclusions of this paper provide useful supplement and new empirical evidence for fund active management research,and can be a practical reference for individual investors and institutional investors.