Who Is the Better Fund Manager: Attention Allocation and Investment Returns

Using data from Chinas equity funds (20192023), this paper explores how fund managers attention allocation relates to investment performance. An attention allocation index, based on the frequency of changes in a funds top ten stock holdings, captures decision-making focus. Ordinary Least Squares (OLS) regression shows a significant negative coefficient (-2.98, p<0.01) for this index, indicating that concentrated attentionreflected in stable portfoliosenhances excess returns, aligning with cognitive resource scarcity theories by reducing information overload. Additional analyses reveal fund size positively correlates with performance (0.06, p<0.01), suggesting economies of scale, while fund age has a negative association (-2.90, p<0.01), implying greater agility in younger funds. These findings offer practical guidance: retail investors may benefit from stable-holding, moderately sized funds; regulators could foster long-term investment to reduce excessive portfolio churning. This study enriches literature by quantifying attention in an emerging market, aiding global investors in navigating Chinas financial landscape. Limitations include reliance on public data, with future research needing multi-source data integration.