基金经理逆境投资能力与基金业绩
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摘要
"宝剑锋从磨砺出,梅花香自苦寒来",人经历了挫折与磨难才能成熟起来,基金经理也是一样。文章首先修正了Sun等(2018)指标,发现基金在"逆境"(下跌行情)中取得的收益率越高,则未来的业绩越好,这一指标对未来业绩具有预测能力,而"顺境"(上涨行情)收益率则不存在这个特点。这种"逆境"收益率反映了基金经理在逆境中的主动管理能力,它是一种新的、未被解释的能力。其次,除了基金收益外,"逆境"收益率对基金风险也有影响,"极端逆境"(暴跌行情)的主动管理能力越强,则基金未来的崩盘风险越小。再次,经济政策不确定性会降低基金经理在"逆境"中的主动管理能力。最后,文章排除了基金"逆境"收益率是投资者关注不足和业绩持续性所致。文章找到了影响基金业绩的一个新因子-逆境投资能力,为解答"Fama悖论"提供了新证据,而且"逆境"收益率指标"过滤"了部分噪音,对投资者的基金选择也有一定的参考意义。
"Honing gives a sharp edge to a sword,and bitter cold adds keen fragrance to plum blossom." People can mature only through setbacks and hardships,and so can fund managers. The indexes which measure the fund manager's ability before are usually based on the fund unconditional historical return(Grinblatt and Titman,1993;Cremers and Petajisto,2009;Titman and Tiu,2011;Sun,et al.,2012).The instinct of the article is from the saying that when the tornado comes in the bull market,it is easier for the fund manager to make profit. Sometimes the fund manager can use a simple strategy to earn abnormal return(Jiang and Kelly,2012). In the bull market,the return earned by the fund manager is probably caused by luck not skill(Fama and French,2010). In the bear market,it is much harder for them to earn money.The article uses conditional performance to measure the fund manager's ability. According to the down and up market,we divide the performance into the Active Up and the Active Down. We follow the method of Sun,et al.(2018)and improve the method. We find that the higher the Active Down,the better the fund performance in the future. And it is uncertain for future performance if the Active Up is higher. This shows that the Active Down index of fund can better predict future performance.We also find that the Active Down reflects an undiscovered,new and unexplained ability of the fund manager,and it also shows the active management ability of the fund manager in the adverse circumstances.And we find that the higher the active management ability,the better the future performance in the extreme adverse circumstances. Besides,if the fund manager has a higher active management ability,the crash risk of the fund in the future will also decrease. Moreover,when the economic policy uncertainty is high,the extreme active management ability of the fund manager will also decrease. Finally,the article excludes the possibilities that the predictive ability of the Active Down comes from the lack of the attention of investors in the down market and the persistence of performance.The marginal contributions of the article are:(1)By improving the method of Sun,et al.(2018),the article shows that it is more realistic for the Active Down index of the fund manager to reflect the active management ability,and it is an undiscovered,new and unexplained ability of the fund manager which has the further research value.(2)There is little research on fund performance in different market conditions domestically,and it is more accurate for conditional performance of the fund manager in adverse circumstances to predict the future performance.(3)The article quantifies the fund manager's ability index in the extreme market conditions and captures the relation between the fund manager's ability and the future risk in the extreme circumstances.(4)The article provides a new explanation for the "Fama Paradox",and shows that the fund manager doing well in the adverse circumstances has an active management ability,which is valuable.
"Honing gives a sharp edge to a sword,and bitter cold adds keen fragrance to plum blossom." People can mature only through setbacks and hardships,and so can fund managers. The indexes which measure the fund manager's ability before are usually based on the fund unconditional historical return(Grinblatt and Titman,1993;Cremers and Petajisto,2009;Titman and Tiu,2011;Sun,et al.,2012).The instinct of the article is from the saying that when the tornado comes in the bull market,it is easier for the fund manager to make profit. Sometimes the fund manager can use a simple strategy to earn abnormal return(Jiang and Kelly,2012). In the bull market,the return earned by the fund manager is probably caused by luck not skill(Fama and French,2010). In the bear market,it is much harder for them to earn money.The article uses conditional performance to measure the fund manager's ability. According to the down and up market,we divide the performance into the Active Up and the Active Down. We follow the method of Sun,et al.(2018)and improve the method. We find that the higher the Active Down,the better the fund performance in the future. And it is uncertain for future performance if the Active Up is higher. This shows that the Active Down index of fund can better predict future performance.We also find that the Active Down reflects an undiscovered,new and unexplained ability of the fund manager,and it also shows the active management ability of the fund manager in the adverse circumstances.And we find that the higher the active management ability,the better the future performance in the extreme adverse circumstances. Besides,if the fund manager has a higher active management ability,the crash risk of the fund in the future will also decrease. Moreover,when the economic policy uncertainty is high,the extreme active management ability of the fund manager will also decrease. Finally,the article excludes the possibilities that the predictive ability of the Active Down comes from the lack of the attention of investors in the down market and the persistence of performance.The marginal contributions of the article are:(1)By improving the method of Sun,et al.(2018),the article shows that it is more realistic for the Active Down index of the fund manager to reflect the active management ability,and it is an undiscovered,new and unexplained ability of the fund manager which has the further research value.(2)There is little research on fund performance in different market conditions domestically,and it is more accurate for conditional performance of the fund manager in adverse circumstances to predict the future performance.(3)The article quantifies the fund manager's ability index in the extreme market conditions and captures the relation between the fund manager's ability and the future risk in the extreme circumstances.(4)The article provides a new explanation for the "Fama Paradox",and shows that the fund manager doing well in the adverse circumstances has an active management ability,which is valuable.
引文
[1]顾力绘.“与众不同者”的价值--基于基金独特性的视角[J].江西财经大学学报,2018,(5):3-12.
[2]尼采.偶像的黄昏[M].李超杰,译.北京:商务印书馆,2013.
[3]申宇,赵静梅,何欣.基金未公开的信息:隐形交易与投资业绩[J].管理世界,2013,(8):53-66.
[4]叶康涛,曹丰,王化成.内部控制信息披露能够降低股价崩盘风险吗?[J].金融研究,2015,(2):192-206.
[5]张晓宇,徐龙炳.限售股解禁、资本运作与股价崩盘风险[J].金融研究,2017,(11):158-174.
[6]Baker S R,Bloom N,Davis S J.Measuring economic policy uncertainty[J].The Quarterly Journal of Economics,2016,131(4):1593-1636.
[7]Berk J B,Green R C.Mutual fund flows and performance in rational markets[J].Journal of Political Economy,2004,112(6):1269-1295.
[8]Carhart M M.On persistence in mutual fund performance[J].Journal of Finance,1997,52(1):57-82.
[9]Chen J,Hong H,Huang M,et al.Does fund size erode mutual fund performance?The role of liquidity and organization[J].American Economic Review,2004,94(5):1276-1302.
[10]Chen J,Jiang F W,Tong G S.Economic policy uncertainty in china and stock market expected returns[J].Accounting and Finance,2017,57(5):1265-1286.
[11]Cooper M J,Gutierrez R C,Hameed A.Market states and momentum[J].The Journal of Finance,2004,59(3):1345-1366.
[12]Daniel K,Grinblatt M,Titman S,et al.Measuring mutual fund performance with characteristic-based benchmarks[J].Journal of Finance,1997,52(3):1035-1058.
[13]Elton E J,Gruber M J,Green T C.The impact of mutual fund family membership on investor risk[J].Journal of Financial and Quantitative Analysis,2007,42(2):257-277.
[14]Fama E F,French K R.Common risk factors in the returns on stocks and bonds[J].Journal of Financial Economics,1993,33(1):3-56.
[15]Fama E F,French K R.Luck versus skill in the cross-section of mutual fund returns[J].The Journal of Finance,2010,65(5):1915-1947.
[16]Glode V,Green R C.Information spillovers and performance persistence for hedge funds[J].Journal of Financial Economics,2011,101(1):1-17.
[17]Grinblatt M,Titman S.Performance measurement without benchmarks:An examination of mutual fund returns[J].The Journal of Business,1993,66(1):47-68.
[18]Jiang H,Kelly B.Tail risk and hedge fund returns[R].Chicago Booth Research Paper No.12-44,2012.
[19]Jin L,Myers S C.R2 around the world:New theory and new tests[J].Journal of Financial Economics,2006,79(2):257-292.
[20]Kacperczyk M,Sialm C,Zheng L.On the industry concentration of actively managed equity mutual funds[J].Journal of Finance,2005,60(4):1983-2011.
[21]Kacperczyk M,Sialm C,Zheng L.Unobserved actions of mutual funds[J].The Review of Financial Studies,2008,21(6):2379-2416.
[22]Kacperczyk M,Van Nieuwerburgh S,Veldkamp L.Time-varying fund manager skill[J].The Journal of Finance,2014,69(4):1455-1484.
[23]Kim J B,Li Y H,Zhang L D.Corporate tax avoidance and stock price crash risk:Firm-level analysis[J].Journal of Financial Economics,2011,100(3):639-662.
[24]Mei J,Scheinkman J A,Xiong W.Speculative trading and stock prices:Evidence from Chinese A-B share Premia[J].Annals of Economics and Finance,2009,10(2):225-255.
[25]Pástor L,Stambaugh R F,Taylor L A.Do funds make more when they trade more?[J].The Journal of Finance,2017,72(4):1483-1528.
[26]Pollet J M,Wilson M.How does size affect mutual fund behavior?[J].The Journal of Finance,2008,63(6):2941-2969.
[27]Sun Z,Wang A,Zheng L.The road less traveled:Strategy distinctiveness and hedge fund performance[J].The Review of Financial Studies,2012,25(1):96-143.
[28]Sun Z,Wang A W,Zheng L.Only winners in tough times repeat:Hedge fund performance persistence over different market conditions[J].Journal of Financial and Quantitative Analysis,2018,53(5):2199-2225.
[29]Titman S,Tiu C.Do the best hedge funds hedge?[J].The Review of Financial Studies,2011,24(1):123-168.
[30]Yan X M,Zhang Z.Institutional investors and equity returns:Are short-term institutions better informed[J].The Review of Financial Studies,2009,22(2):893-924.
(1)根据新浪财经2018年11月1日“告诉你一只明星基金是如何溃败的”、2018年6月25日“公募一哥任泽松将卸任中邮基金经理”等报道整理。
(1)根据21世纪经济2017年9月6日“统计发现,中国最好的公募基金经理”、搜狐财经2018年12月29日“靠谱的基金经理怎么挑”等报道整理。
(1)限于篇幅,文中未报告未来6个月和12个月的超额收益分析结果,如有需要可向作者索取。
(1)限于篇幅,这里未报告具体的检验过程与结果,如有需要可向作者索取。
[2]尼采.偶像的黄昏[M].李超杰,译.北京:商务印书馆,2013.
[3]申宇,赵静梅,何欣.基金未公开的信息:隐形交易与投资业绩[J].管理世界,2013,(8):53-66.
[4]叶康涛,曹丰,王化成.内部控制信息披露能够降低股价崩盘风险吗?[J].金融研究,2015,(2):192-206.
[5]张晓宇,徐龙炳.限售股解禁、资本运作与股价崩盘风险[J].金融研究,2017,(11):158-174.
[6]Baker S R,Bloom N,Davis S J.Measuring economic policy uncertainty[J].The Quarterly Journal of Economics,2016,131(4):1593-1636.
[7]Berk J B,Green R C.Mutual fund flows and performance in rational markets[J].Journal of Political Economy,2004,112(6):1269-1295.
[8]Carhart M M.On persistence in mutual fund performance[J].Journal of Finance,1997,52(1):57-82.
[9]Chen J,Hong H,Huang M,et al.Does fund size erode mutual fund performance?The role of liquidity and organization[J].American Economic Review,2004,94(5):1276-1302.
[10]Chen J,Jiang F W,Tong G S.Economic policy uncertainty in china and stock market expected returns[J].Accounting and Finance,2017,57(5):1265-1286.
[11]Cooper M J,Gutierrez R C,Hameed A.Market states and momentum[J].The Journal of Finance,2004,59(3):1345-1366.
[12]Daniel K,Grinblatt M,Titman S,et al.Measuring mutual fund performance with characteristic-based benchmarks[J].Journal of Finance,1997,52(3):1035-1058.
[13]Elton E J,Gruber M J,Green T C.The impact of mutual fund family membership on investor risk[J].Journal of Financial and Quantitative Analysis,2007,42(2):257-277.
[14]Fama E F,French K R.Common risk factors in the returns on stocks and bonds[J].Journal of Financial Economics,1993,33(1):3-56.
[15]Fama E F,French K R.Luck versus skill in the cross-section of mutual fund returns[J].The Journal of Finance,2010,65(5):1915-1947.
[16]Glode V,Green R C.Information spillovers and performance persistence for hedge funds[J].Journal of Financial Economics,2011,101(1):1-17.
[17]Grinblatt M,Titman S.Performance measurement without benchmarks:An examination of mutual fund returns[J].The Journal of Business,1993,66(1):47-68.
[18]Jiang H,Kelly B.Tail risk and hedge fund returns[R].Chicago Booth Research Paper No.12-44,2012.
[19]Jin L,Myers S C.R2 around the world:New theory and new tests[J].Journal of Financial Economics,2006,79(2):257-292.
[20]Kacperczyk M,Sialm C,Zheng L.On the industry concentration of actively managed equity mutual funds[J].Journal of Finance,2005,60(4):1983-2011.
[21]Kacperczyk M,Sialm C,Zheng L.Unobserved actions of mutual funds[J].The Review of Financial Studies,2008,21(6):2379-2416.
[22]Kacperczyk M,Van Nieuwerburgh S,Veldkamp L.Time-varying fund manager skill[J].The Journal of Finance,2014,69(4):1455-1484.
[23]Kim J B,Li Y H,Zhang L D.Corporate tax avoidance and stock price crash risk:Firm-level analysis[J].Journal of Financial Economics,2011,100(3):639-662.
[24]Mei J,Scheinkman J A,Xiong W.Speculative trading and stock prices:Evidence from Chinese A-B share Premia[J].Annals of Economics and Finance,2009,10(2):225-255.
[25]Pástor L,Stambaugh R F,Taylor L A.Do funds make more when they trade more?[J].The Journal of Finance,2017,72(4):1483-1528.
[26]Pollet J M,Wilson M.How does size affect mutual fund behavior?[J].The Journal of Finance,2008,63(6):2941-2969.
[27]Sun Z,Wang A,Zheng L.The road less traveled:Strategy distinctiveness and hedge fund performance[J].The Review of Financial Studies,2012,25(1):96-143.
[28]Sun Z,Wang A W,Zheng L.Only winners in tough times repeat:Hedge fund performance persistence over different market conditions[J].Journal of Financial and Quantitative Analysis,2018,53(5):2199-2225.
[29]Titman S,Tiu C.Do the best hedge funds hedge?[J].The Review of Financial Studies,2011,24(1):123-168.
[30]Yan X M,Zhang Z.Institutional investors and equity returns:Are short-term institutions better informed[J].The Review of Financial Studies,2009,22(2):893-924.
(1)根据新浪财经2018年11月1日“告诉你一只明星基金是如何溃败的”、2018年6月25日“公募一哥任泽松将卸任中邮基金经理”等报道整理。
(1)根据21世纪经济2017年9月6日“统计发现,中国最好的公募基金经理”、搜狐财经2018年12月29日“靠谱的基金经理怎么挑”等报道整理。
(1)限于篇幅,文中未报告未来6个月和12个月的超额收益分析结果,如有需要可向作者索取。
(1)限于篇幅,这里未报告具体的检验过程与结果,如有需要可向作者索取。