The influence of SIFs managers’ characteristics on fund performance: an empirical study in China

ABSTRACT

This paper adopts principal component analysis to assign weights to three fund performances obtained independently by the Sharpe index, Jensen index, and Treynor index. Therefore, a comprehensive model for the performance of Chinese securities investment funds (SIFs) is derived by combining these three indexes. The empirical study shows that the regression between SIFs managers’ characteristics and fund performance is better when using this comprehensive measurement model. Moreover, SIFs managers’ experience and tenure have negative and positive effects on fund performance, respectively. However, their gender, education level, professional qualification holdings, research experience, and abroad experience, do not significantly influence the fund performance.

KEYWORDS:

• Securities investment fund
• manager
• fund performance
• characteristics

JEL CLASSIFICATION:

• C33
• G34

Disclosure statement

No potential conflict of interest was reported by the author(s).

Notes

¹ Data from Wind shows that in the first quarter of 2022, Chinese SIFs long positions in the top 20 stocks, the number of funds holding a single stock is 301, and the number of funds holding the top three long positions, MOUTAI (600519), CATL (300750) and WuXi AppTec (603259), is 852.

² Turnover = (cost of buying stocks + gain from selling stocks)/(2×fund’s net assets).

Additional information

Funding

This work was supported by the [National Social Science Foundation of China] under Grant [No. 20XGL003], and [2023 Natural Science Basic Research Project of Shaanxi Province] under Grant [No.2023-JC-YB-618].