An Empirical Analysis Of Influence On Fund Performance From Fund Manager Turnover

The fund industry in country isn't developing for long time and still in the primary phase. The rules and laws and the company internal construction are not completed. With the fast development of the fund industry, fund managers meet a high frequency turnover. But compare to the mature capital market overseas, the fund manger turnover frequency seems too quick. There are 95 times turnover of fund managers in 2006. This number increase to 193 in 2007, and still, it turned into 320 in 2008. Annual fund managers'turnover rate is almost near to 50% in 2008. With The high frequency turnover rate of the fund managers, it probable will take changes of the funds behaviors and their performance.This paper involved industrial economies, financial and statistics analysis related theories and their analysis methods and advanced outcomes. And this paper used the event research method to analytic demonstration fund performance changes before and after the turnover of fund managers. There are six chapters of this paper:The first chapter is the introduction; it mainly introduced the research background and research meaning of the event of the turnover of fund managers, and takes out the research target of this paper: Firstly, combine the fund industrial environment and fund industrial restriction-incentive mechanism to fund managers to analysis the actuality of the turnover of fund managers in out country. Secondly, look into the performance before and after the fund manager turnovers, with the demonstration statistics to validate the hypothesis, and after that, use the result of the demonstration analysis revise the hypothesis, abstract the credible conclusion.The second chapter is the literatures summarize. Summarize the literatures of the influence of manager turnover to the company's performance overseas, the literatures of the event of the fund managers' turnovers in China and other countries, the literatures of the fund performance evaluation indexes and systems in Chin and other countries. The third chapter described the origin, develop and industrial characteristics of fund industry and the actuality of fund managers turnovers in our country.The forth chapter.:From one aspect, to analysis the fund companies exterior industrial environment, including the potential incomers, replacers, suppliers, demanders and competition to analysis the situation of the industrial fund industrial and current in our country. From another aspect, evaluate the influence of restriction-incentive mechanism of fund companies to fund managers.Chapter fifths take an empirical analysis on the influence of fund manager turnover to fund performance. This paper divided fund performance into three groups:outstanding group, common group, poor group. And under the different fund performance, what will changes when fund managers turnovers. Will the new fund managers could turn the old managers' shortage. Or will the new fund managers could result decline in investment performance? Variance analysis through the five indicators, then test the relevance of the results, then presents a behavioral economics on the interpretation.The sixth chapter is the conclusions and recommendations. For the same analysis window of outstanding group and poor group, after the event of fund managers' turnovers, the outstanding group met a significant reduction on risk-adjusted return, on the contrary, this indicator increased after fund manager changes. And the turnover rate met a significant reduction on both group. After new managers appointed, they make a great adjustment on the stock position to practice their own investment philosophy. At the some time, the turnover rate of old or new fund managers of poor group is higher than outstanding group, common group. Because the fund managers often attempt to increase the frequency to increase return on investment transactions when the fund performances poor. At last, this paper suggests the investors to take a great attention on the event of fund managers' turnover, and make a careful analysis on personal characteristics and work experience of old and new fund managers. Use this event to adverse risk and make a profit. From the regulator aspect, need strengthen the management of fund management companies information disclosure and constraints and improve the fund manager replacement event information integrity and timeliness of disclosure.