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THE EFFECT OF PORTFOLIO MANAGERS' PAST EXPERIENCE ON THEIR PERFORMANCE

Author
Xu, Xinran
Abstract
Understanding where the mutual fund returns come from may be advantageous to construct a portfolio of managers for a fund. This paper uses mutual fund performance data in China market from 2001 to 2018 to study whether differences in manager’s former working experience affect their performance. After regressions and bootstrap tests, there come some conclusions: managers who starting careers as buy-side industry and sell-side macro analysts generate significant excess returns of 0.4% and 0.6%. What’s more, there is no evidence that portfolio managers have market-timing abilities. Last but not least, industry groups show larger portions of return from small-cap stocks and growth stocks. Specifically, buy-side industry group shows superior ability in picking up promising small-cap stocks, and sell-side industry group tends to pay most attention to and invest more in growth stocks.
Date Issued
2019-05-30Subject
Finance; Economics; Investment performance; Mutual fund; Portfolio manager; china
Committee Chair
Hwang, Byoung-Hyoun
Committee Member
Ng, David T.
Degree Discipline
Applied Economics and Management
Degree Name
M.S., Applied Economics and Management
Degree Level
Master of Science
Type
dissertation or thesis