基金经理逆境投资能力与基金业绩

The Fund Manager’s Investment Ability in the Down Market and Fund Performance

'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.