Analyzing the nature of fund selection measures: Stock picking or trading skill?

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance Pub Date : 2024-07-02 DOI:10.1016/j.qref.2024.101883

Ping-Wen Sun, Wen-Ju Liao, Wanling Lin

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Abstract

We analyze why fund selection measures, including daily six factor alpha, daily return volatility, and minimum churn rate of a fund within a quarter, predict fund performance. Among these three fund selection measures, we demonstrate that funds with lower return volatility generate better fund performance, portfolio holdings performance, and trading portfolio performance. This result suggests that funds with lower return volatility possess better both stock picking and trading skill. In addition, funds with higher alpha or higher minimum churn rate have better fund performance and better portfolio holdings performance, but worse trading portfolio performance. As we demonstrate that portfolio holdings performance rather than trading portfolio performance mainly contributes to fund performance, our findings suggest that fund investors should pay attention to funds’ stock picking skill more than their trading skill. Moreover, funds’ lack of trading skill helps explain why original funds may underperform copycat funds.

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分析基金选择措施的本质：选股还是交易技巧？

我们分析了基金选择指标（包括每日六因子阿尔法、每日回报波动率和季度内基金最低流失率）预测基金业绩的原因。在这三个基金选择指标中，我们发现回报波动率越低的基金，其基金业绩、投资组合持股业绩和交易组合业绩越好。这一结果表明，收益波动性较低的基金拥有更好的选股和交易技巧。此外，阿尔法值越高或最低流失率越高的基金，其基金业绩和投资组合持有业绩越好，但交易组合业绩越差。我们的研究结果表明，投资组合的持股表现而非交易组合的表现是影响基金业绩的主要因素，因此基金投资者应更多地关注基金的选股能力而非交易能力。此外，基金缺乏交易技能也有助于解释为什么原创基金的表现可能不如山寨基金。

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来源期刊

Quarterly Review of Economics and Finance ECONOMICS-

CiteScore

6.00

自引率

2.90%

发文量

118

期刊介绍： The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.