Mutual Funds Dynamics and Economic Predictors*
研究共同基金经理如何利用经济预测因子调整投资组合的系统性风险，基于1990-2014年美国国内股票基金数据，发现贝塔动态受经济变量显著影响，但经理人似乎不关心基准对预测因子的敏感度。
Suppose a fund manager uses predictors in changing portfolio allocations over time. How does predictability translate into portfolio decisions? To answer this question, we derive a new Bayesian time-varying CAPM-based beta model, where managers modulate the systematic risk in part by observing how the benchmark returns are related to some set of imperfect predictors, and in part reflecting their own information set. Based on single and equally weighted portfolios of U.S. domestic equity mutual funds over the 1990–2014 period, we estimate our model providing new evidence on mutual fund dynamics: (1) beta dynamics are significantly affected by economic variables, although (2) managers seem not to care about benchmark sensitivities toward predictors in choosing their instrument exposure; and (3) instruments play a key role on the long run.