The paper “Industry Allocations and Mutual Fund Performance: A Study of Industry Concentration and Industry Activeness”, co-authored by Professor Xueyong ZHANG, doctoral student Yuling WU and Associate Professor Rui CHEN, was published in Volume 37, No. 3 of “Journal of Applied Statistics and Management” in May, 2018.

Abstract: Industry allocation is vital in the top-down investment style, however, there is still few accurate measure of industry allocation due to the unavailability of data. Based on returns of actively managed mutual fund and stock between 2004 and 2013 in China, this paper estimates industry exposure of mutual funds, presents revised Industry Concentration Index, formulates Industry Activeness Index and tests their relationships with fund performance and mutual fund flows. We find the two indices both significantly positively affect the performance of mutual funds in China. We find that only industry activeness, which is the industry allocation metric we propose and calculated based on a period, has positive correlation with mutual fund performance and the Industry Concentration Index has no evident correlations with mutual funds flows. The results reflect that compared to Industry Concentration, Industry Activeness is better for measuring fund manager’s ability to rotate industry.

Keywords: Industry Concentration; Industry Activeness; Fund Performance; Fund Flow