The Effect Of Turnover Rate On Performance Of Open-Ended Funds In China

China Securities Regulatory Commission promulgated the Interim Measures for the administration of securities investment funds in November 14,1997,which means the start of the fund in China.It has been 21 years since the promulgation of the measures.With the scale of our annuity fund expansion,more and more investors put their money in funds.In December 31,2019,there were 127 open-ended fund management organizations,managing 6,544 open-ended Funds,with a share of 13.69 trillion yuan and a scale of 14.77 trillion yuan.Fund is becoming an indispensable part of Chinese security market.So what kind of effect does the turnover rate have on the performance of the fund? This topic has not yet reached a unified conclusion in the domestic research.At present,the domestic researchers mainly focus on the performance evaluation,risk return and style of the fund,while the research on the turnover rate and investment return of the fund is very few,and a few researches will take the turnover rate index as the control variable.This paper mainly studies the impact of fund turnover on investment returns.Through the trading situation of the fund's stocks,the fund turnover is calculated according to the data published in the semi-annual reports and the annual reports.Through empirical research,this paper finds that the fund turnover rate has a negative impact on the fund return rate.The mixed regression of panel data shows that the fund turnover rate is negatively correlated with the fund return rate.By mixed regression and individual effect regression,it is concluded that there is a negative relationship between turnover and return,and the coefficient is about-0.0035.According to Hausman test,the model should adopt fixed effect rather than random effect.Based on the negative relationship,this paper continues to study the heterogeneity of funds.We can classify the fund according to the scale,style and market value.Through the data,we can see that most of the sample funds are large cap style funds,and most of them are balanced style funds.It is found that the turnover rate has a negative impact on the return rate of funds in all kinds of funds,and the impact of large funds and value funds is greater.The conclusion of the relationship between fund turnover rate and fund return rate is that the higher the fund turnover rate is,the lower the fund return rate in next period is.This paper finds that the frequent trading of the fund will reduce the return of the fund in next period.