| In this paper,we mainly analyzed the data of Chinese open-end index funds during 2006-2016 to find out key factors affecting their performance and explained the differences,using multiple regression model and step regression to prove the factors of kinds of index funds.We found that Chinese open-end index funds have strong trend characteristics.In the long run,the performance differentiation is significant,the enhanced ones' performance is better;in the unilateral rise and fall market,the performance differentiation is less significant;in the shock market,the differentiation is not significant.On the whole,the main factors affecting the performance of index funds are total cost rate and share change.The change of net asset value and the fund manager have not significantly affected the performance of index funds,and there is no evidence that industry concentration ratio and shareholding concentration ratio have impact on performance.By classification,for ETF feeder funds,the share change and the shareholding concentration ratio have a negative correlation with the excess performance,and the industry concentration ratio has a positive correlation with the excess performance;for the standard index funds,the total cost rate has a definitely negative correlation with the excess performance;for the enhanced index funds,the net asset value has a weak negative correlation with the excess performance,and the share change has weak positive correlation with the excess performance.It is suggested that index fund investors have a deep understanding of the differences in index funds,choose the standard index funds with low cost rates,recognize the overall and periodic characteristics of Chinese stock market,attach importance to the opportunity of the medium and small cap index funds and set up the concept of long-term investment.In view of the large risk of index fund,it is suggested that index fund hedge mechanism be timely established to ease the expanding investment risk of index funds. |
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