Industry Allocation,Individual Characteristics Of Fund Managers And Fund Performance

Since the end of the last century,Chinese securities market has been ups and downs,with bull and bear markets alternating,accompanied by shock markets.Among them,the phenomenon of industry sector rotation is very significant.From 2006 to 2010,Chinese equity fund managers preferred to allocate to the financial sector.From 2013 to 2016,they increased the weight of the technology sector when allocating funds.Since 2017,the proportion of general consumption allocation has increased rapidly.It can be seen that Chinese capital market shows obvious sector rotation effect with the change of economic cycle.Therefore,it is very necessary to study the industry allocation effect of open-end fund under different economic cycle and capital environment.In the implementation of industry allocation,fund managers play an important role in the process of industry selection and fund management,so the personal characteristics of fund managers will have a moderating effect on the industry allocation.In order to study the relationship between industry concentration,personal characteristics of fund managers and fund performance,this paper uses quarterly data of 316 open-end equity funds and mixed-equity funds established before the third quarter of 2011 to construct a panel fixed-effects model.The period from the third quarter of 2014 to the second quarter of 2017 was taken as the full sample cycle.The whole sample is divided into three sub-samples:from Q3 2014 to Q2 2015(bull market)and from Q3 2015 to Q2 2016(bear market)and from Q3 2016 to Q2 2017(stock shock period).The excess return under Fama-French three-factor model was used to measure fund performance,the ICI index proposed by Kacperczyk was used to measure industry concentration,and the gender,educational background and tenure of fund managers were selected as personal characteristics.This paper uses STATA16 to do main effect analysis and moderating effect analysis.Through empirical test,the following conclusions can be drawn:first,there is no correlation between industry concentration and fund performance under the full sample.Second,the higher the industry concentration in the bull market,the better the the fund performance,and the gender characteristics of fund managers will enhance the correlation.That is,men are more inclined to increase the proportion of industry positions,and obtain returns that exceed the market level.Educational background and tenure have no significant moderating effect.Third,the higher the industry concentration in a bear market,the poorer the performance of the fund,and the tenure of fund managers will restrain the correlation.That is,the fund manager with a longer tenure choosing to invest in the industry will get excess returns.Gender and educational background have no significant moderating effects.Fourth,the relationship between industry concentration and fund performance is not significant during the shock period.Finally,based on the empirical results,this paper puts forward corresponding suggestions from the perspectives of fund supervision,fund management companies and investors.From the perspective of fund supervision,it is necessary to improve information disclosure channels,make full use of the China Fund Industry Association,and formulate universally applicable disclosure standards for different information;from the perspective of fund management companies,there is no need for sexism and hiring the people with high degree.But with other conditions being the same,choose male fund managers and fund managers with longer tenures as much as possible;from the perspective of investors,they should choose different funds according to different market conditions,and fully understand the manager’s personal information with the help of major platforms.Then investors consider comprehensively and choose the best funds.