Forecasting Fund Performance Based On Holding Changes Of Mutual Funds

Different from ordinary individual investors,in addition to having stronger professional knowledge,fund managers who use stock investment as their careers,fund managers have obtained more market and listed company information on the platform provided by fund companies to conduct related transactions.When a fund manager makes changes to his stock portfolio,it should be based on the information he has in his possession and make the best choice he thinks he can make now.So,can the changes in fund positions reflect the fund's active management capabilities,and at the same time,whether such changes in positions can improve the future performance of the fund is a question worth discussing.In this paper,from June 2008 to December 2018,China's open-ended active management partial stock funds(shares and partial stocks)are used as samples to study the fund's active management capabilities from the perspective of fund position changes.We have defined three indicators,HPD,AFP,and DHA,to measure the fund's active management capabilities.HPD is obtained from the difference between the weighted returns of the portfolio of positions held in the two half-years before and after the fund in the next half-year.The AFP is obtained from the difference between the cumulative returns of the three-and-a-half-year portfolio of stocks held in the fund in the next three months and the three-day cumulative earnings near the date of the financial report.The fund's active management capability DHA based on trading capabilities is obtained by subtracting HPD and AFP.HPD measures the fund's overall active management capabilities,AFP focuses more on the fund's active management capabilities based on the fundamentals of listed companies,and DHA focuses on the fund's active management capabilities in daily transactions.The main conclusions of this paper are as follows:(1)There are significant differences in the active management capabilities of open-ended active management funds.At the same time,according to the active management capabilities of the funds,it can effectively predict the future performance of the fund.(2)The active management ability of the fund has a certain relationship with the characteristics of the fund.Funds with higher HPD or DHA hold more stocks.(3)When we consider other indicators in the Chinese fund market that may reflect the fund's active management capabilities(such as fund stealth trading),the fund's active management capabilities can still effectively predict the future performance of the fund.(4)We find that the fund's active management capabilities HPD,AFP,DHA have not shown continuity in the future.