The Contribution Of Managers Performances To Chinese Mutual Funds Performances

What the thesis studies is how to measure the performances of mutual fund managers and their contributions to the fund performance. For a long time period, the existing researches and numerousactual cases have confirmed that managers’ performance significantly impact on fund performance, but no research directly quantified the effect. However, the answer to this question is important. It’ll not only help us to understand the structure of fund performance, but also help fund investors and fund companies to make decisions. If the contribution is very low, fund investors needn’t pick up fund managers, companies needn’t try their best to select or eliminate fund managers. Otherwise, fund investors and fund companies must try to pick out the good fund managers.Since managers’performances and their contributions to funds performances cann’t be observed, in this paper we basedon a production function to decompose funds performances, and use Bayesian methods to estimate the parameters to get the parameters of fund managers performances and contributions. Using this model, we make an empirical research on the data of Chinese mutual funds investing securities, and found that the contributions are high to 55%-82%.This thesis consists of seven chapters:Chapter 1 is introduction. Beginning with putting forword the question, we introduce the purpose and significance of the study, then give a literature review and summarize the principal innovation of this thesis, and finally design research methods and the framework of this research.Chapter 2 is the summary of existing research methods. After the discussion of the concepts of managers’ performances and etc., we summarize and compare the relevant methods on fund performance measurement and evalution about managers’ performances providing support for the method choice of follow-up study.Chapters 3 discuss the factors affecting funds performances and measure the fund performance, which is the prerequisite for measurement of fund managers performances and contributions. Firstly we cited a variety of factors that may affect funds performances in theory, then filter out the most appropriate indicators from-many alternative indicators through empirical research, and ultimately measure the funds performances.Chapter 4 tests the difference and persistent in the managers’performances, which is the premise of the contribution research. Existing the difference and persistent, fund investors and fund companies can predict future performance of the fund managers based on their historical performance, and then pick out skilled managers. Section 4.1 gives the evidence of funds managers’performances differences and persistence from both theorey and practice, and then Section 4.2 choose a newmethod and improve an existing method to test difference and persistence of managers’performances separately. Section4.3 makes an empirical research based on Section 4.2, finding the existence of difference and persistence of fund-managers’ performance, which guarantee the practical significance of this study.The next two chapters are the core part of this thesis.Chapter 5 constructs a Bayesian model with the analysis of the production function framework, to decompose the role of funds managers in the funds performances. Section 5.1 introduces the idea and framework of the model, and dicuss the possible problems which will make the parameters uncertain, and Section 5.2creat an empirical model on the basis ofSection 5.1, and avoid the situation of parameters uncertain by the selection of model assumptions and sample data. Section 5.3 estimates the parameters of the model in Section 5.2.Using the empirical model in Section 5.2, chapter 6 make an empirical research with the date of Chinese mutual funds investion secturies, analyze the distribution and variation of the performances of funds managers and companies, and their contributions to funds performances.Chapter 7 is the summary. We summarize the main conclusions of the study and put forward corresponding countermeasures and suggestions, then point out the disadvantages of this thesis, and finally prospect the follow-up study.