Research On Internal Factors Affecting The Performance Of Open-ended Equity Funds

Since the stock market in our country was established, it has been full ofspeculative atmosphere dominated by individual investors. In order to stabilize thestock market and avoid the share price sharply up and down, China SecuritiesRegulatory Commission in2001brought forward the strategy to extraordinarilydevelop institutional investors. Security investment fund’s characteristic of poolingthe scattering money to make concentrated and professional investment made it takeon the important task of stabilizing the stock market. Under the support of policies,laws and regulations, fund industry in our country has been experiencing atremendous development. Take a panoramic view of the development of fundindustry these years, we find that open-ended funds have become the mainstream offunds, and equity funds account for half of open-ended funds. As a tool ofcollection investment in security, open-ended equity funds are becoming the focusand emphasis for investors. Therefore, evaluating the performance of open-endedequity funds becomes an important issue for fund management companies, investorsand regulatory authorities.The existing researches show that different funds share a large difference inperformance in the same period, and the difference is mainly determined by theinternal factors. This article, based on the domestic and foreign researches andcombining the current situation of fund industry and the characteristics of open-endedequity funds, discusses the relationship between open-ended funds performance underdifferent evaluating indicators and fund expense, fund size, turnover rate ofstockholding, fund age, the changing frequency of fund manager. According to YinheSecurity Funds classification system, we choose43open-ended equity funds set byDecember31,2005as study sample. We take time from January1,2006to December31,2012as evaluation period which is divided into14time intervals, each half year,and use the method of panel data regression to discuss the relationship between fundperformance under different evaluating indicators and the internal factors.This article does panel data regression by respectively taking risk-unadjusted performance, Treynor index, Sharpe index, Jensen index and Fama-Frenchthree-factor-adjusted performance as the dependent variable, and choosing the ratio oftransaction expense on gross revenue, the ratio of totle expense on gross revenue, thelogarithm of fund size, the turnover rate of stockholding, the fund age, the changingfrequency of fund manager as the independent variables. It draws a conclusion asfollowing: fund size and fund age have a significantly negative effect on fundperformance; the turnover rate of shareholding has a significantly positive effect onfund performance; the ratio of transaction on gross revenue has a positive effect onfund performance, but not very significant; the ratio of totle expense on gross revenuehas little effect on fund performance; the changing frequency of fund manager haslittle effect on risk-unadjusted performance, Treynor index and Sharpe index, but hasa negative effect on Jensen index and Fama-French three-factor-adjusted performance,not very significant.