An Empirical Study On Stock Fund Managers’ Skills

Under the influences of domestic and overseas factors,Chinese stock market suffered a lot in the year 2018.As a result,among all fund products,stock funds bear a great loss.Under same market conditions,stock fund’s return mainly depends on manager’s skills.According to unsatisfactory performance of stock fund in 2018,the conversation about stock fund managers’ skills came into focus.This paper takes 187 stock funds as the research object,takes the period from 2009 to 2018 as research period,to analyze stock managers’ skills,persistence in stock fund performance and managers’ market timing and stock picking ability.In order to study stock managers’ skills,it uses value added as the indicator,which bases on the indicator α,and takes fund assets as a new factor,this indicator increases the standard of measuring managers’ skills.Beside value added,it uses 4-factor model and index-fund model as the benchmark,prices stock funds in two methods.In order to analyze the persistence in stock fund performance,it takes manager skill ratio as the indicator,which enables the comparability between funds of different assets.Finally,in order to study managers’ market timing and stock picking ability,it constructs TM-FFC4 and HM-FFC4 model to explain the reason why some funds performed well in 2018.The results show that,4-factor model,index-fund model,TM-FFC4 and HM-FFC4 model all perform well in pricing stock funds,the hypothesis that no manager has skills should be rejected,specifically,more than 60% of managers have skills in the long term,and around 40% managers have skills in 2018,but results still show that average manager lacks skills both in the long and short term.There is no correlation between current compensation and future performance both in short and long periods.With the comparison between funds which performs well and bad in 2018,it shows that what matters most in the differences in funds’ return is managers’ stock picking ability,and managers’ market timing ability has little influences.