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1、1,The Value of Active Mutual Fund Management:,An Examination of the Stockholdings and Trades of Funds Managers,2,V.The Performance of Mutual Fund Holding and Trades,A.AggregateWe want to examine whether mutual fund managers have stock-picking skills?,Stock returns,The level of mutual fund holdings o
2、r trades,To examine the performance of stocks held and traded by mutual funds.,3,V.The Performance of Mutual Fund Holding and Trades,If mutual fund managers have stock-picking skills,then stocks widely held by funds should outperform their benchmarks.Similarly,stocks that are newly purchased should
3、outperform their benchmarks,while stock that are newly sold should not outperform their benchmarks.,Mutual fund managers have good stock-picking skills.,4,Future quarter returns on Trades portfolios provide evidence that mutual funds have stock-picking talents.,5,Buys outperform Sells partly due to
4、differences in characteristics of the component stocks,such as the price momentum of these stocks.That is,once we eliminate the characteristics impact,the buy and sells spread is smaller.,In unreported results,the difference in DGTW-adjusted returns between Buys and Sells is insignificant during the
5、 second year.,6,V.The Performance of Mutual Fund Holding and Trades,B.Mutual Fund Performance within Subsamples of StocksThis section,we want to examine whether mutual fund manager are better able to pick stock having certain characteristic.For example,if fund manager have better stock selection ski
6、lls for growth stocks or value stocks?,7,In All holding,there are no insignificant abnormal returns in each category fund over all future holding periods.,By F-test:We could not reject the hypothesis that the DGTW-adjusted returns are jointly equal across the four stocks characteristic,no matter in
7、all holding,buy,sell or buy-sell.,Overall,stock selection skills have no relationship with stock characteristics.,8,V.The Performance of Mutual Fund Holding and Trades,C.Investment Objective Subgroups of Mutual FundsThis section,we will show the fundamental statistics of mutual fund.In DGTW-adjusted
8、 returns for portfolios,do growth-oriented funds and income-oriented funds have similar performance?,9,10,V.The Performance of Mutual Fund Holding and Trades,Growth funds typically invest about two-thirds of their stock portfolios in the two lowest book-to-market rankings.Value funds invest about on
9、e-fourth of their stock portfolios in the two highest book-to-market deciles.Growth funds make much larger bets on growth stocks than value funds make on value stocks.,11,In All holding,there are no insignificant abnormal returns in each category fund over all future holding periods.,Buys of growth-
10、oriented funds significantly outperform their Sells.The return difference between Buys and Sells for income-oriented funds is insignificant.,Autocorrelation-adjusted F-testH0:Buys minus Sells portfolio abnormal returns across the four fund groups is equal.Reject the null hypothesis.,12,Autocorrelati
11、on-adjusted F-testH0:Do the four fund equal profit from select large growth stocks?Reject the null hypothesis,13,D.Portfolio Turnover and Fund Performance,High turnover funds are momentum investors,while lowturnover funds are contrarians.,It appears that high turnover funds hold stocks that solidly
12、outperform stocks held by their low turnover counterparts during future holding periods.However,much of this return difference can be attributed to differences in the characteristics of stocks held by these two portfolios.,Both high and low turnover funds buy stocks that outperform they sell.However
13、,this difference is not related to fund turnover,as the magnitude is roughly the same.,The evidence indicates that these funds have marginally better stock-picking skills than low turnover funds.,14,Vl.Persistence in Performance,Stock held by winning funds have substantially higher momentum than sto
14、cks held by losing fundsdue to simply to the ranking of funds on their past returns.,It appears that the difference in future returns between past winningand losing funds is largely due to differences in the price momentumOf their stockholdings.,It suggests that losing funds have special skills in i
15、dentifying the“dogs”in their holding compared to wining funds.,In summary,our evidence suggests that there is persistence in unadjusted returns on mutual fund portfolio.However,characteristic-adjusted returns on stocks held by winning funds are only slightly higher than those on stocks held by losin
16、g funds.Furthermore,there is only weak evidence that stocks newly bought by winning funds outperform stocks newly bought by losing funds.,This indicates that winning funds tend to systematically add highmomentum socks to their portfolios.,15,Vll.Concluding,Stock held by mutual funds do not outperfor
17、m the general population of stocksSuggestive of the funds possessing superior stock selection skills.Mutual fund have roughly the same level of skill in picking growth stocks as they do in picking value stocks,and in picking large stocks vs.small stocks.However,we find that growth-oriented funds are
18、 better at picking large growth stocks than income-oriented funds.,16,Vll.Concluding(cont.),High turnover funds have better stock selection skills than low turnover funds.The superior performance of these passive holdings is mostly attributable to the general tendency of past winners to outperform past losers(momentum effect)rather than to persistent stock selection skills.,
