Factors Affecting The Performance Of Investment Funds In Viet Nam.pdf

INTRODUCTION

Urgency and rationale for the choice of topic

Over the past decade, the role of investment funds in the financial market has significantly increased This notable surge is evident in the growth of assets held by investment funds globally, rising from $23.8 trillion at the end of 2011 to $63.39 trillion in the end of Q3.2023 (ICI, 2024) In the U.S market, fund management companies play a crucial role and own more than a quarter of the equity market Investment funds are highly valued for their diversity, professional management, liquidity, flexibility, and convenience they bring Additionally, investment funds are crucial for the development of the stock market and the economy, as they are managed and held by institutional investors who own a significant portion of capital in the market

However, research on investment funds still faces numerous challenges While most theoretical models used to evaluate the performance of investment funds rely on assumptions of Modern Portfolio Theory (MPT) and explain the relationship between risk and expected returns, as well as the famous Efficient Market Hypothesis (EMH), which posits that stock prices fully reflect all available information, these assumptions are hardly met in reality Particularly, research in this field often focuses on developed markets and neglects investment funds in emerging markets The profitability of investment funds in emerging markets faces difficulties such as high volatility, high transaction costs, and infrequent trading (Bekaert and Harvey, 2002) Moreover, there are still doubts about whether factors identified to influence in developed markets also apply to emerging markets (e.g., Claessens et al., 1995; Fama and French, 1998) This lack of understanding hinders the development of the fund industry in emerging markets

The growth of investment funds in emerging markets has had a significant impact on the development of the stock market and holds crucial importance for financial policies However, this growth can also lead to irrational behavior and make the market more volatile Emerging markets possess distinctive characteristics, such as high instability, incomplete financial systems, unclear regulations and legal procedures, and a lack of transparency and honesty This creates an uncertain investment environment and may increase the risk for investment funds

Another challenge in researching investment funds in emerging markets is the collection of information and data Often, information and data about funds in these markets are not publicly disclosed or are incomplete, with inconsistent disclosure methods This poses difficulties in evaluating the performance and risks of investment funds Additionally, audit and oversight processes may not meet the standards equivalent to those in developed markets, resulting in a lack of transparency and reliability in fund management and reporting

To address these challenges, more effort is needed in researching and gaining a better understanding of investment funds in emerging markets Strengthening international cooperation and information exchange will help improve data collection and the assessment of fund performance Furthermore, efforts from fund management organizations and governments are required to enhance transparency standards and audit processes in the industry

For investors, thorough research and understanding of investment funds in emerging markets are crucial Careful consideration of liquidity, risk management, performance history, and investment strategies of funds is necessary before making investment decisions Diversifying investment portfolios is also an effective method to minimize risks when investing in emerging markets

In summary, research on investment funds in emerging markets is an important and challenging field Understanding the specifics of factors and conducting meticulous research processes are necessary to achieve profitability and minimize risks when investing in funds in emerging markets Currently, there is a limited number of studies on the performance of investment funds in Vietnam, despite the rapid growth in the number of investors and the value of assets managed by these funds in recent years Recognizing the importance of this research topic, the author has chosen "Factors affecting the performance of investment funds in Vietnam" as the research topic for the graduation thesis.

Research objective

The general objective of the thesis is to identify the factors influencing the performance of investment funds in Vietnam Subsequently, the study aims to provide recommendations and policy implications to enhance the performance of investment funds in Vietnam in the near future

Based on the general research objective, the thesis establishes the following specific objectives:

Firstly, identify the factors influencing the performance of funds in Vietnam, thereby constructing a suitable research model

Secondly, analyze the degree of influence and the direction of influence of specific factors in the field of investment funds

Thirdly, provide recommendations for fund managers to develop an appropriate and secure investment strategy Additionally, offer guidance for investors to evaluate and choose suitable investment funds, aiming for superior investment performance.

Research quesion

To address the research objectives outlined above, the author presents the following research questions:

- What factors influence the performance of investment funds in Vietnam?

- How do these factors impact the performance of investment funds, and what is the direction and degree of this impact?

- Based on the research findings, what solutions and recommendations can assist fund managers in developing appropriate and secure investment strategies?

Research subjects and range

The primary research subjects of the thesis are the factors influencing the performance of investment funds in Vietnam

The research sample consists of 16 investment funds in Vietnam during the period from 2020 to 2023 The data is collected from monthly investment activity reports and annual financial reports that have been audited The criteria for selecting funds include those established and continuously operating from January 2020 to the end of December 2023, with necessary data published clearly and comprehensively in monthly and annual investment activity reports

The research time frame is chosen from January 2020 to December 2023 This period represents a dynamic phase for Vietnam's economy and stock market, marked by the significant impact of the Covid-19 pandemic.

Practical scientific significance

The research results in this thesis can assist fund managers in evaluating and identifying factors influencing the performance of funds This, in turn, allows for the development of methods and strategies to enhance the performance of funds in the future.

Research methodology

The thesis employs a quantitative research method to assess and analyze the factors influencing the performance of investment funds in Vietnam

Quantitative method: The study employs the panel data regression technique to analyze the impact of factors on the performance of investment funds in Vietnam The Ordinary Least Squares (OLS) method is used for estimation, incorporating both Fixed Effect Model (FEM) and Random Effect Model (REM) Subsequently, the author employs the Hausman Test to examine the suitability of the model with FEM and REM, selecting the optimal model for OLS regression Next, the author examines potential flaws in the model such as autocorrelation, multicollinearity, and heteroskedasticity In cases where regression assumptions are violated, the author utilizes the Generalized Least Squares (GLS) method to address model shortcomings, providing insights into the influence of factors on the performance of investment funds in Vietnam

The thesis utilizes secondary data, with micro-level data on factors collected from monthly investment activity reports and annual financial reports of 16 investment funds in Vietnam Macro-level data is sourced from reports by the State Bank of Vietnam (SBV), the International Monetary Fund (IMF), and the World Bank.

Research contribution

While there have been numerous studies worldwide on the performance of investment funds, this topic has not received significant attention from researchers in Vietnam, and the number of studies on this subject in Vietnam remains limited Anticipating the future development of the Vietnamese stock market and, consequently, the growth of the investment fund sector, the author decides to delve deeper into this field in Vietnam Building on the findings of international research and expanding on current issues, the study aims to understand and identify the factors influencing the performance of investment funds in Vietnam Subsequently, it proposes strategic implications to assist fund managers in developing effective measures and methods to enhance the performance of investment funds in Vietnam.

Research structure

The research on the factors influencing the performance of investment funds in Vietnam is structured into 5 chapters, outlined as follows:

This chapter will present the necessity and rationale for choosing the research topic It will define the general and specific research objectives, explore relevant studies, and specify the range and research subjects Additionally, the research method and the structure of the thesis will be outlined in Chapter 1

Chapter 2: Theoretical framework and empirical studies

This chapter will discuss the concept of measuring the performance of fund operations It will then review empirical research globally and domestically on factors affecting the performance of investment funds in Vietnam

Chapter 3: Research model and methodology

Building on the theoretical foundation and empirical evidence presented in Chapter 2, Chapter 3 will construct a research model and propose hypotheses regarding the influence of internal and macro variables on the performance of investment funds in Vietnam The chapter will also address the research data, analyze research methods, and outline the research process to achieve results aligned with the set objectives

Chapter 4: Research results and discussion

Based on the research model and methodology presented above, Chapter 4 will demonstrate the results of statistical analysis, describe the variables in the model, conduct correlation analysis, test regression hypotheses, and perform tests to select the most suitable model Through the discussion of research findings, the thesis will identify which factors truly impact the performance of investment funds and the extent of their influence

Chapter 5: Conclusion and recommendations, policy implications

Derived from the research results in Chapter 4, this chapter will provide key conclusions and offer recommendations, proposals, and policy implications to enhance the performance of investment funds in Vietnam Additionally, it will present the limitations of the study and propose directions for further research

Chapter 1 emphasizes the importance and necessity of researching the factors influencing the performance of investment funds in Vietnam Starting from the general research objective, the thesis identifies specific research goals to be addressed through corresponding research questions Subsequently, it defines the research subjects and range, focusing on 16 investment funds in Vietnam over the period from January 2020 to December 2023 The quantitative research method is employed based on previous studies, expanded to update the factors affecting the performance of investment funds that may change over time Finally, this chapter outlines the structure of the thesis, consisting of five chapters, and provides a summary of the main content of each chapter

CHAPTER 2: THEORETICAL FRAMEWORK AND EMPIRICAL

Chapter 2 will conduct a review of the theoretical foundation and empirical evidence both domestically and internationally regarding the impact of factors on the performance of investment funds in Vietnam Subsequently, the chapter will engage in a discussion to identify the gaps in the existing research.

Investment fund

Investment funds are financial intermediaries that attract capital from various sources, pooling it to invest in stocks, bonds, cash, or other types of assets All these investments are professionally managed, rigorously overseen by fund management companies, regulatory banks, and other authorized agencies In other words, investment funds are established based on the contributions of multiple entities with capital who aim to collectively engage in investment activities This collaborative approach enhances professionalism in investment operations, ultimately maximizing the profits for the participants (Reilly & Brown, 2020)

Besides professional capital management, investment funds contribute to risk reduction in investment by diversifying their portfolios This diversification helps minimize risks associated with individual assets Additionally, investment funds achieve cost efficiencies through economies of scale (Vershinina et al., 2016)

2.1.2 The performance of investment fund

According to Maheswari & Dineshkumar (2019), the investment performance of a fund refers to how efficiently a fund management company achieves its goals regarding profitability and risk These objectives might involve seeking a high return on capital with a considerable level of risk to achieve fund growth Alternatively, the goals could be focused on generating income from dividends and capital gains with lower risk compared to other type of funds Balanced funds aim to achieve a combination of income, growth, and stability

The performance of an investment fund can be analyzed through performance measures used in portfolio analysis (George & Hwang, 2011) Various models are employed to evaluate fund performance Most studies use five performance measures to assess the performance of investment funds: Sharpe ratio, Jensen's alpha, Treynor measure, Sortino ratio, and Information ratio While Treynor measures the systematic risk using the beta coefficient, Sharpe focuses on the overall portfolio risk of the fund

Measuring the performance of investment fund

Typically, when making a decision, we often ponder its consequences Therefore, when an investor entrusts money to a fund for investment on their behalf, they seek to understand the outcomes Does the investment fund deliver superior performance? How does it compare to other funds? And which method is employed? Evaluating performance involves measuring the skill of asset managers, and its main idea is to compare the returns of an investment portfolio with an alternative investment portfolio in a specific scenario The emergence of Modern Portfolio Theory (MPT) by Markowitz in 1952 opened up numerous possibilities for developing methods to measure portfolio performance MPT quantifies how smart investors make decisions based on expected returns and risks, leading to the progression of performance metrics from rudimentary measures to more accurate ones, adjusted for risk As mentioned in the theory above, various methods have been proposed to assess the performance of investment portfolios, aiming to find a reliable and accurate model

Although researchers have utilized different methods to evaluate portfolio performance, their common goal is to create a means to distinguish outstanding investment funds from others However, choosing the most suitable model for assessing performance in a specific case remains a challenge

Selecting an appropriate model depends not only on the measurement method used but also on the suitability of that method with the evaluated data and market This requires careful consideration and in-depth understanding of the characteristics of the investment portfolio and influencing factors The objective is to find an overall performance evaluation model that provides a reliable way to measure and compare the performance of investment funds, helping investors make informed decisions and optimize profits

According to researchers, the operation of a fund is determined by the success of portfolio managers in achieving a balance between different return rates and an acceptable level of risk This is necessary for investors to have a clear view of the fund's ability to generate stable profits and withstand risk Combining the assessment of returns and risk in evaluating the performance of investment funds will help investors make intelligent investment decisions Therefore, evaluating the performance of investment funds involves not only measuring returns but also assessing the level of risk associated with those returns over a specific period

Hence, this research utilizes the Sharpe ratio to measure the performance of investment fund (FRR)

The Sharpe ratio, proposed by Sharpe (1966), is a metric used to evaluate the performance of an investment portfolio In contrast to the Treynor method, which relies on the Security Market Line (SML), the Sharpe ratio is developed based on the Capital Market Line (CML) and measures the portfolio's excess return over its total risk, quantified by the standard deviation The key aspect of this metric relies on the slope of the CML, indicating the ratio of market risk to its standard deviation If the Sharpe ratio of a portfolio exceeds this value, it implies that the performance of that portfolio is compared to a benchmark, and vice versa The Sharpe ratio is calculated using the formula:

Where SR p is the Sharpe ratio of portfolio p, E(R p ) is the expected rate of return of portfolio p, R f is the risk-free rate of return, and σ p is the standard deviation of the rate of return of the portfolio during the specific measurement period.

Theoretical framework

The theoretical evaluation will provide insights into theories related to the operations of investment funds, with a particular focus on theories relevant to risk and the performance of investment funds Some explored theories include: Efficient Market Hypothesis (EMH), Modern Portfolio Theory (MPT), Capital Asset Pricing Model (CAPM), and Arbitrage Pricing Theory (APT)

The Efficient Market Hypothesis (EMH), introduced by Fama (1970), asserts that stock prices reflect all publicly available information Trading based on insider information is deemed illegal, and even if it were possible, there would not be enough informed investors to significantly impact the overall volatility of any given stock Most financial products available to investors today acknowledge the practicality of EMH Passive investing, diversification, and overall market indices as a benchmark for performance measurement are outcomes of the belief in EMH

EMH is built on three assumptions: Firstly, EMH posits that all investors perceive available information in the same way Secondly, according to EMH, no individual investor can achieve higher profits than another with the same amount of investment because all publicly available information they possess is identical Thirdly, no investor can beat the market or achieve an average annual profit higher than the profit of all investors and funds attempting to do so

However, the Efficient Market Hypothesis (EMH) does not provide a clear definition of the time required for the value of an asset to return to a reasonable level This is because EMH is a theoretical model, and real markets are not entirely efficient Several factors can influence the time needed for the value of an asset to return to a reasonable level, such as the severity of the event causing the price drop, the availability of information about the event, and investor psychology EMH also asserts that random events are entirely acceptable in efficient markets This means that prices may be affected by random events, such as news reports or natural disasters, but these events will ultimately be resolved, and prices will return to normal However, it should be noted that EMH does not guarantee that prices will always return to normal Some events, such as the collapse of a major financial institution, may have a long-term impact on asset prices

Modern Portfolio Theory (MPT), formulated by Harry Markowitz (1952), is a hypothesis based on the idea that risk-averse investors can construct investment portfolios to optimize or maximize expected returns based on a certain level of market risk It emphasizes that this risk creates a higher reward for investors willing to take risks MPT suggests that examining the risk and expected return of a specific asset is insufficient Instead, by investing in more than one type of risky asset, investors can benefit from diversification (also known as not putting all eggs in one basket) and, in particular, reduce the risk of the investment portfolio

One of the fundamental assumptions of this theory is that investors attempt to maximize the discounted expected rate of return while simultaneously minimizing the variance of the undesired rate of return Variance measures the deviation from expectations, with larger variance indicating higher volatility and greater risk Expected returns can be measured using the yields of investment assets, while the variance of returns is considered as risk Portfolio selection is done using the minimum variance rule for expected returns Therefore, evaluating this relationship is the foundation for investor decisions, eliminating subjective factors in the decision- making process

MPT suggests that an 'efficient frontier' of optimal investment portfolios can be constructed, providing the maximum expected return possible with a certain level of risk The efficient frontier can be defined as the combination of assets with the highest expected returns higher than any other combination and providing the highest profit with the lowest risk

The return on an investment portfolio is the weighted sum of the expected returns of its component assets, i.e.:

Where R p is the expected rate of return of the investment portfolio, R i is the expected rate of return of asset i, and w i is the weight of component asset i (i.e., the ratio of asset i in the investment portfolio)

The variance of the investment portfolio is calculated as follows: σ p 2 = Ʃ w i 2 σ i 2 + Ʃ i Ʃ j≠i w i w j σ i σ j ρ ij

Where ρ ij is the correlation coefficient between the returns on asset i and asset j The expression can be written as: σ p 2 = Ʃ i Ʃ j w i w j σ i σ j ρ ij

MPT concludes that diversification creates a superior investment portfolio This helps minimize risk while ensuring that assets are not highly correlated with each other

However, MPT also has limitations One of the main challenges is estimating the correlation coefficient between two assets This is particularly complex when applied to multiple assets with diverse characteristics and is often impractical to implement In reality, there are countless possibilities for constructing and selecting investment portfolios

2.2.3 Capital Asset Pricing Model (CAPM)

The CAPM is a notable achievement in the field of financial economics, introduced by William Sharpe, a Nobel laureate in Economics, in 1970 through his book "Portfolio Theory and Capital Markets" He presented an important idea that individual investors face two types of risks: systematic risk and unsystematic risk Systematic risk is the undiversifiable risk of the entire market, such as interest rates, economic recessions, wars, and similar factors On the other hand, unsystematic risk or specific risk is the risk associated with individual stocks and can be minimized by increasing the number of stocks in the investment portfolio This represents the portion of profit not dependent on the overall market volatility

The CAPM provides a method to measure the benefits of diversifying an investment portfolio It allows investors to assess the level of unsystematic risk of a stock and calculate expected returns based on this level of risk This assists in constructing an optimal investment portfolio, meaning a portfolio that achieves the highest return for a certain level of risk

While MPT demonstrates that specific risks can be eliminated through diversification, diversification still does not address issues related to systematic risk, even if an investment portfolio contains all stocks in the stock market, that risk cannot be eliminated Therefore, CAPM provides a way to measure this systematic risk when calculating expected returns

Sharpe (1964) observed that the return on an individual stock or a stock portfolio should be equal to its cost of capital The standard CAPM formula describes the relationship between risk and expected return as follows:

R f = Risk-free rate β a = Beta coefficient

The CAPM, a model for pricing financial assets, has a crucial starting point: the risk-free rate, often represented by the 10-year government bond yield However, to compensate for the risks that equity investors bear, a risk premium is added The

"market risk premium" is calculated by subtracting the expected market return from the risk-free rate This creates an "equity risk premium" multiplied by a coefficient called "Beta", proposed by Sharpe in 1964

Factors influencing the performance of fund

The growth of net asset value provides cost advantages, subsequently increasing net profitability With an increase in the fund's scale, trading volume rises, leading to lower broker commissions for larger funds Additionally, costs related to data access, research and support services, as well as management and overhead costs, do not increase proportionally with the fund's scale

Numerous studies have explored the relationship between the scale of investment funds and performance, yet the results remain inconclusive Larger funds have economic scale advantages as they can allocate fixed costs and access more resources Moreover, managers of larger funds may have better investment opportunities, and brokerage commissions may decrease with higher transaction volumes (Ciccotello, 1996)

Farid & Wahba (2022) on the impact of fund scale on the operational efficiency of investment funds in Egypt, analyzing seven types of investment funds in Egypt from 2012 to 2017, reveals a significant inverse relationship between fund scale and operational efficiency Chen et al (2004) in their analysis of operational components argue that there is an inverse relationship between fund scale and operational efficiency They posit that after a fund reaches a certain scale, maximizing profits is no longer a priority, and they contend that liquidity and uneconomical scale-related costs erode performance Consistent with these findings, Hornstein & Hounsell (2016) and Yan (2008) present similar results in their studies

On the contrary, Ammann & Moerth (2005) investigate whether increasing assets in the fund industry reduce profits and specifically whether larger funds operate less efficiently than smaller ones The study provides some evidence for a positive relationship between fund scale and the performance of investment funds Liang (1999) and Bauer et al (2005) produce similar results in line with the aforementioned studies

The portfolio turnover rate provides information about the duration a fund manager holds a stock in their investment portfolio A higher turnover rate implies that a fund manager actively adjusts the portfolio composition frequently, potentially increasing costs for the fund

Empirical results regarding the relationship between fund performance and portfolio turnover rate are contradictory However, Rehman & Baloch (2015) investigated the performance of 44 investment funds operating in Pakistan from 2010 to 2014 The research demonstrated that PTR has a positive impact on the operational efficiency of funds Other researchers also yielded similar results, such as Dahlquist et al (2000) and Wermers (2000) On the other hand, Elton et al (1993) and Indro et al (1999) argue that a high portfolio turnover rate leads to lower fund efficiency

In theory, the fund expense ratio is considered a crucial factor influencing fund profitability An increase in the expense ratio implies a reduction in the amount received by investors This corresponds to an increase in transaction costs, management fees, and support services, ultimately affecting the net profit of the fund However, a study conducted by Rehman & Baloch (2015) in Pakistan investigated the impact of various factors on the performance of investment funds The research, encompassing 44 investment funds from 2010 to 2014, revealed that the fund’s expense ratio (FER) has a positive impact on fund’s performance Previous studies by Nazir & Nawaz (2010), Afza & Rauf (2009), and Dowen & Mann (2007) also reached similar conclusions

On the other hands, not all studies agree with this perspective Some studies by Elton et al (1993) and Indro et al (1999) indicated that FER has an inverse effect on fund’s performance It can be understood that an increase in transaction costs, management fees, and support services does not necessarily translate into improved investment performance, potentially adversely affecting the fund's profitability

Net cash flow of the fund is the difference between the cash inflows from investment activities, cash from new investors entering the fund, and cash exiting the fund over a specific period The net cash flow can be positive or negative When the net cash flow is positive, meaning the amount received is greater than the amount spent, the fund can accumulate and increase its assets This can supplement capital and provide liquidity to acquire additional assets or increase ownership stakes in existing assets

According to a study by Nguyen et al (2018) investigating investor sentiment's impact on the operations of investment funds in the emerging markets of India and Pakistan, the results indicated that net cash flow (NCF) positively influences fund’s performance This suggests that when the net cash flow into the fund is positive, the fund has more resources and opportunities to seek better investment prospects, thereby enhancing fund’s performance Similar findings were reported in studies by Gruber (1996) and Zheng (1999) Conversely, research by Dichev (2007) and Glenn

& Patrick (2004) demonstrated an inverse relationship, indicating that net cash flow negatively affects fund’s performance

The age of an investment fund plays a crucial role in determining its performance Age is calculated based on the number of months since the fund was established up to the current date The fund's age can impact important factors such as costs and performance A newly established fund often faces higher costs during the startup phase due to the uneconomical nature of the scale Additionally, new funds may struggle to allocate resources reasonably to optimize efficiency while simultaneously building credibility in the market to attract investors

Research by Gregory et al (1997) highlighted that the age of an investment fund can influence operational efficiency, especially in the initial stages This indicates that new funds may encounter challenges and risks distinct from those of longer- established funds Studies by Soeharto & Kisti (2014), Kiymaz (2015), and Bauer et al (2005) have demonstrated the positive impact of fund age on operational efficiency Longer-established funds often exhibit better operational capabilities and achieve higher profits However, a study by Farid & Wahba (2022) on the performance of investment funds in Egypt discovered that age has an inverse impact on fund’s performance This result aligns with prior studies such as Otten & Bams

(2002) Therefore, the correlation between age and fund’s performance is not entirely clear and may depend on various factors

Research documents have indicated that the growth of investment funds depends on macroeconomic factors such as GDP growth, inflation, interest rates, and various other elements

Inflation is defined as the sustained increase in the general price level of goods and services Moderate inflation is often associated with stable economic growth, while high inflation is a signal of an economy that is overheating and poses risks The relationship between inflation and the growth of investment funds has been demonstrated in both theory and practice

Coffie (2019) on the impact of macroeconomic factors on the value of investment funds in Ghana showed that inflation, measured by the Consumer Price Index (CPI), does not significantly affect the performance of funds However, Gusni et al (2018), Setiawan & Kanila Wati (2019), and Nurlis (2012) found a positive correlation between increasing inflation and the performance of funds

The impact of money supply on the stock market has drawn the attention of economists and has been extensively studied According to the real wealth effect theory, changes in the money supply create changes in the real wealth held by households and business organizations (Laidler, 1969) As a result, changes in aggregate demand affect not only employment, income, and prices but also the profitability of the stock market (Laidler, 1969) Moreover, money supply also influences the portfolio holdings of investment funds and the return rate of managed assets When the money supply increases, the cash flow of investment funds also rises significantly, providing conditions for substantial investments in the capital market and increasing the net asset value of investment funds

Overview of some experimental studies on the performance of investment funds

2.4.1 Experimental studies in various countries

The relationship between fund activities and fund characteristics has not been extensively studied, particularly in emerging markets where accessing data on investment funds is often more challenging than in developed markets

Indro et al (1999) focused on the impact of fund size on investment efficiency The results showed that investment funds need to achieve a minimum size to ensure sufficient profitability to offset information collection and trading costs Additionally, profit margins tended to decrease when the fund size exceeded the optimal fund size In the sample of 683 funds in the United States during the period from 1993 to 1995, the study demonstrated that the largest 10% of funds invested excessively in data and information collection Furthermore, value funds and blended funds (combining value and growth) provided more benefits than growth funds Ammann & Moerth (2005) conducted a study on the "Impact of size on the operation of investment funds" The study investigated whether increasing assets in the fund industry reduced profits and whether larger investment funds operated less efficiently than smaller funds, often speculated due to limitations in capabilities in certain fund investment strategies The study analyzed the impact of fund size on profit, standard deviation, and Sharpe ratio The results showed an inverse relationship between fund size and the operational efficiency of investment funds

Notably, this inverse relationship was even stronger for funds holding low-liquidity investment portfolios

Bauer et al (2005) conducted a significant study on the activities of ethical investment funds in Germany, the United Kingdom, and the United States Using the multi-factor Carhart model (1997) and an international database comprising 103 funds, the study expanded and explored new aspects of the nature of ethical investment funds After examining factors related to investment style, the study found limited evidence of significant differences in risk-adjusted returns between ethical investment funds and conventional funds during the 1990 - 2001 period The research suggested that ethical investment funds with a long track record in the market would perform better, while younger or newly established ethical investment funds continued to perform worse than market benchmarks and conventional funds

In a study conducted by Mei-Chen (2006), the Sharpe ratio was employed to examine the influence of factors such as fund size, portfolio turnover rate, net asset value and expense ratio on fund’s performance Results indicated a positive relationship between fund’s performance and net asset value, while revealing a negative correlation with the expense ratio

Yan (2008), which used stock trading data and detailed stock quantity information, a comprehensive study on investment funds managed in the United States from 1993 to 2002 was conducted The aim was to examine the impact of liquidity and investment style on the relationship between fund size and fund’s performance The results showed an inverse relationship between fund size and fund’s performance Specifically, for funds holding less liquid investment portfolios, this inverse relationship was even more pronounced Additionally, the inverse correlation between fund size and fund’s performance was more evident for growth funds and those with high revenue

Suppa-Aim (2010) on investment funds in Thailand, an emerging economy, used diverse datasets and new factors such as investment policies and taxes The study delved into analyzing how fund managers implemented their strategies and managed their investment portfolios The results indicated that fund size, fund age, and fund flows played important roles in the performance of investment funds, although they did not have statistically significant meaning

Ferreira et al (2013), using data from 27 countries, investigated factors determining the performance of investment funds The study found that investment funds generally underperformed compared to the overall market Results showed significant differences in factors influencing the operational efficiency of funds in the United States compared to other countries worldwide While in the United States, profits decreased with scale, in other countries and foreign funds, an increase in scale did not have a significantly negative impact on fund’s performance The study also emphasized that investment funds performed better in countries with stock markets with high liquidity and solid legal frameworks

In another study, Soeharto & Kisti (2014) examined the influence of fund characteristics and past performance on the performance of investment funds using the Jensen alpha model and a dataset consisting of 33 funds from 2010 - 2013 The results showed that fund size and fund age significantly affected the performance of investment funds, while net asset value did not have statistically significant meaning The financial sector has become an integral part of the societal infrastructure Over an extended period, investment in investment funds has played a crucial role in the financial market, and its prevalence has significantly increased in the past decade Karuiki (2014) investigated the impact of macroeconomic factors on the performance of investment funds in Kenya The research results indicate that money supply, interest rate, inflation rate, and GDP have a positive and substantial influence on the performance of investment funds in Kenya Conversely, exchange rate has a significantly negative impact on the efficiency of fund operations

Amunga (2015) on investment funds in Kenya, a positive relationship was found between fund profitability and the yields of government bonds as well as market interest rates The study identified a negative beta coefficient for factors such as GDP growth rate, inflation rate, and fund size, representing risks in the investment fund market Moreover, inflation rate, market interest rate, and GDP growth rate had the most significant impact on fund profitability, while a negative relationship was discovered between fund’s performance and investors' behavior To enhance the performance of investment funds in Kenya, the study recommended fund managers apply flexible investment strategies, adjust investment styles regularly, maintain an appropriate fund size, and regularly evaluate fund’s performance against market and other fund benchmarks

Kiymaz (2015) focused on 1,037 investment funds in China from January 2000 to July 2013, exploring fund activities during the period when emerging markets attracted investors' attention The study revealed that factors such as fund age, fund fees, price-to-book ratio, and fund size influenced the operational efficiency of investment funds This study provided valuable information for fund managers in China, helping them better understand the factors determining fund operational efficiency and seize efficient investment opportunities

The study by Rehman & Baloch (2016) provided crucial insights into the operations of investment funds in Pakistan Conducted from 2010 to 2014, the research focused on 44 investment funds operating in Pakistan to understand the influence of various factors on their efficiency The data collected annually from the investment funds' reports and the Pakistan Investment Association were analyzed The study revealed that fund size, management expense ratio, and portfolio turnover ratio all had a positive and significant impact on the performance of investment funds However, liquidity showed a negative and insignificant impact on fund profitability Makau (2016) examined the influence of macroeconomic factors on the performance of listed and licensed funds in Kenya The study period extended from January 2011 to December 2015 The results of data analysis using methods such as Microsoft Excel and SPSS revealed that macroeconomic variables such as interest rate, inflation rate, money supply, and GDP significantly affect the efficiency of fund operations

Gusni et al (2018) concentrated on the performance of equity mutual funds in Indonesia Using the risk-adjusted performance method, the study examined factors influencing fund’s performance, including stock selection skills and timing of fund manager, fund size, and inflation The research selected 19 mutual funds during the period from 2011 to 2015 Data analysis methods were applied to assess the impact of these factors on fund’s performance The results indicated that the operations of mutual funds in Indonesia lacked stability, and fund’s performance was affected by stock selection skills and inflation, while market timing skills and fund size did not have a significant impact

Nguyen et al (2018) analyzed the impact of fund size, expenses, portfolio turnover rate, net cash flow, fund age, market liquidity, and macroeconomic factors such as inflation, interest rates, and GDP on fund’s performance The results showed that fund size and portfolio turnover rate had an adverse effect on fund’s performance, while fund age, expense ratio, and net cash flow had positive effects However, money supply growth and GDP did not reach statistical significance in the model Setiawan & Kanila Wati (2019) concentrated on factors influencing the performance of Sharia investment funds in Indonesia during 2010 - 2018 The study used the Sharpe ratio to measure fund’s performance and explored internal and external factors affecting the performance of investment funds Internal factors included the stock selection skills of fund managers, market pricing ability, and the rate of managed asset turnover Selected external factors included inflation rates and exchange rate changes The results showed that the stock selection skills of fund managers, the rate of managed asset turnover, and the inflation rate had a positive and significant impact on the operational efficiency of Sharia investment funds On the other hand, market pricing ability did not have a significant impact, while the exchange rate change rate had a significant negative effect on the performance of Sharia investment funds

In addition to the aforementioned studies, Coffie (2019) explored the impact of macroeconomic factors such as inflation, interest rate, exchange rate, money supply, and GDP growth rate on the performance of investment funds This study identified a positive relationship between exchange rate and the performance of funds, highlighting the favorable influence of exchange rate on the success of investment funds However, macroeconomic factors such as inflation, interest rate, money supply, and GDP growth rate did not significantly affect the operational efficiency of investment funds in the research model

Additionally, Farid & Wahba (2022) focused on investment fund activities in Egypt and employed the Sharpe ratio for evaluation The results revealed that fund size and expenses had a positive impact on fund activities, while fund age had a negative impact Furthermore, the investment fund model did not show significant statistical significance

RESEARCH MODEL AND METHODOLOGY

Research procedure

To achieve the objective of identifying the direction and degree of influence of various factors on the performance of 16 investment funds in Vietnam during the period from January 2020 to December 2023, the thesis follows the research procedure outlined below:

Step 1: Review of theoretical framework and relevant previous studies both domestically and internationally is conducted This involves discussing existing studies to identify research gaps and determine the research model design for the topic

Brief review of theoretical basis and experimental evidence

Identify research samples and process research data

Choose methods and determine research results

Test the selection of regression results

Discussion, conclusions and policy implications

Check the model for defects

Step 2: Based on the theoretical framework and empirical evidence, the research designs a study model, anticipates suitable regression equations, explains variables, and formulates research hypotheses

Step 3: Identify a suitable research sample considering the research objectives, study subjects, and scope Subsequently, data is collected and processed according to the research model designed in Step 2

Step 4: Determine the research method, including specific analysis and estimation techniques such as descriptive statistics, correlation analysis, and regression analysis using OLS, FEM, and REM for panel data

Step 5: Test the research hypotheses using statistical tests such as the F-test or

T-test at significance levels of 1%, 5%, or 10% to identify statistically significant independent variables explaining the dependent variable Conduct a comparison between models; use the Hausman test to compare FEM and REM models with the hypothesis H0: choose REM model Select the most appropriate model

Step 6: Perform tests for model defects, including multicollinearity, autocorrelation, and heteroscedasticity If none of these defects are present, proceed to Step 7 If any of these defects are present, address them using GLS and correct endogeneity issues in the study Also, retest research hypotheses in Step 5 and proceed to Step 7

Step 7: In this final step of the process, based on the regression results, the study conducts discussions, summarizes findings, draws conclusions, and provides recommendations and policy implications related to answering research questions and achieving research objectives.

Research model

3.2.1 Overview of the research model

Based on the empirical research presented in detail in Chapter 2, the studies primarily employ the Sharpe ratio as a method to measure the performance of investment funds Additionally, these studies incorporate internal fund factors and macroeconomic factors such as INF and MSG to assess their impact on fund’s performance Consequently, the author proposes the following research model for the thesis:

FRR it = β 0 + β 1 TNA it + β 2 PTR it + β 3 FER it + β 4 AGE it + β 5 NCF it + β 6 INF t + β 7 MSG t + μ it

FRR it : Monthly investment performance of fund i

TNA it : Logarithm of total net asset of fund i in month t

PTR it : Portfolio turnover rate of fund i in month t

FER it : Expense ratio of fund i in month t

AGE it : Age of fund i up to month t

NCF it : Net cash flow of fund i in month t

INF t : Inflation rate in Vietnam in month t

MSG t : Money supply growth in Vietnam in month t

Here, i and t correspond to the fund and the survey year, respectively β 0 is the intercept term, and β 1 to β 7 are the respective slope coefficients for the independent variables and μ it represents the statistical residual

Firstly, the independent variable TNA it is calculated as the logarithm of the total net asset of the fund measured monthly (Hornstein & Hounsell, 2016) It represents the total asset value held by the fund after subtracting liabilities and financial obligations TNA is a crucial measure to assess the scale and asset management capability of the fund, reflecting the fund’s ability to attract capital and its reputation in the market TNA can change over time based on investor deposits/withdrawals or fluctuations in the asset value in the fund’s investment portfolio

TNA it = Ln (Total asset)

Secondly, the independent variable PTR it represents the portfolio turnover rate of the fund Turnover is defined as an index measuring the frequency of regular trading of assets held in the investment portfolio over a certain period (Rehman & Baloch, 2016) In this thesis, the author uses the PTR data disclosed by the fund in its regular investment activity reports to calculate the turnover rate The portfolio turnover rate is calculated by dividing the total transaction value in the month by the average net asset value of the fund A high turnover rate indicates that the fund frequently conducts buying and selling transactions of securities, showing rapid movement in portfolio restructuring Conversely, a low turnover rate indicates that the fund tends to hold securities for an extended period and engages in fewer buying and selling transactions This is one of the crucial indicators for assessing liquidity and the investment strategy of the fund, providing information about the flexibility and frequency of securities trading in the portfolio, which can affect transaction costs and the fund's performance

P TR it = (Total value of purchases + Total value of sales)

2 x Average net asset value of the fund in the month

Thirdly, the fund’s expense ratio (FER it ) is a metric measuring the percentage of the fund's operating expenses, including fees and costs related to fund management and operations, relative to the total asset value of the fund (Indro et al., 1999) This is a crucial factor when assessing the efficiency and competitiveness of an investment fund The fund's expense ratio directly impacts shareholder investment returns A fund with low expenses will retain a larger portion of the investment returns for shareholders, while a high expense ratio will reduce the fund's profit margin The data on the fund's expense ratio is obtained by the author from the fund's monthly reports on investment activities

Fourth, the age of the fund (AGE it ) is an independent variable calculated as the logarithm of the total number of months since the fund's establishment up to the point of data collection each month (Kiymaz, 2015) The fund's age provides information about its operational history and experience This can influence investor confidence, as a fund with a longer operating history is often perceived as more stable and deemed to have more experience in managing investment portfolios

AGE it = Ln (Total months in operation since establishment)

Fifth, net cash flow (NCF it ) represents the difference between the total inflow and outflow of funds from investors in the fund NCF is calculated as the ratio of the change in total assets during the period to the total assets in the previous period (Nguyen et al., 2018), with data obtained from the fund's regular reports on investment activities NCF reflects the increase or decrease in the fund's asset value based on the money that investors contribute to or withdraw from the fund When the cash flow is positive, it indicates that the fund has received more money than withdrawn This suggests that the fund is attracting cash flow from investors or earning profits from investment activities Positive net cash flow can contribute to the growth and expansion of the fund Conversely, when net cash flow is negative, it means that the fund is paying out more than it is receiving This may occur when investors withdraw money from the fund or when the fund incurs losses from investment activities Negative net cash flow can lead to a reduction in fund size and financial pressure, affecting the liquidity of the fund

NCF it = TNA it - TNA i(t-1 )

Sixth, the inflation rate (INF t ) is an independent variable measured by the Consumer Price Index (CPI), the rate of increase/decrease in the consumer price index (Setiawan & Kanila Wati, 2019), with data collected from the General Statistics Office of Vietnam

Seventh, the money supply growth rate (MSG t ) is an independent variable measured by the rate of increase/decrease in the money supply in the economy

(Karuiki, 2014) Data on the money supply growth rate is obtained from reports by the General Statistics Office of Vietnam and the World Bank

Based on studies by Ammann & Moerth (2005), Liang (1999), Bauer et al (2005), and Wermers (2000), there is a statistically significant positive correlation between total net assets and the performance of investment funds This relationship suggests that as the fund's scale increases with the growth of total net assets, investment funds have more resources to invest in attractive profit opportunities and allocate assets more efficiently This contributes to enhancing the fund's performance Additionally, funds can leverage economic efficiency through scale when the increase in costs related to information access, research, support, and management expenses is not proportional to the growth of total net assets However, studies by Farid & Wahba (2022), Hornstein & Hounsell (2016), and Yan (2008) show the opposite effect

In this thesis, the independent variable TNA is expected to have a positive impact on fund’s performance The research hypothesis is formulated as follows:

H 1 : Total net asset has a positively significant impact on the performance of investment funds in Vietnam

Studies by Rehman & Baloch (2016), Soderlind et al (2000), and Fortin & Michelson (2005) indicate that portfolio turnover has a significant impact on the performance of investment funds A fund with a high portfolio turnover suggests an active approach in seeking profits in the market; however, frequent trading may lead to higher transaction costs, negatively affecting the fund's performance Holding a portfolio for an extended period can stabilize the fund's investment portfolio and potentially save transaction costs In agreement with this perspective, research by Indro et al (1999), Elton et al (1993), Carhart (1997), and Afza & Rauf (2009) shows that portfolio turnover has a counterproductive effect on the performance

In this thesis, the author expects that PTR has a negative impact on the performance, and the research hypothesis is as follows:

H 2 : Portfolio turnover rate has a negatively significant impact on the performance of investment funds

Through research on investment funds, studies by Dowen & Mann (2007), Afza

& Rauf (2009), Nazir & Nawaz (2010), and Rehman & Baloch (2016) have examined the impact of fund operating expenses on fund’s performance The research results indicate that higher operating expenses contribute to better performance for investment funds This can be explained by the fact that when a fund increases operating expenses, including research, management, and transaction costs, it is more likely to identify better investment opportunities, thereby increasing returns on attractive investment opportunities Additionally, the increase in expenses for human resources contributes to enhancing motivation and increasing the work productivity of fund managers However, the increase in operating expenses directly affects the fund's profitability, as studies by Elton et al (1993) and Indro et al (1999) show that operating expenses have a negative effect on the performance

In this thesis, the author formulates the research hypothesis with the expectation that the expense ratio has a positively significant impact on the performance of the fund

H 3 : The fund's expense ratio has a positively significant impact on its performance

Kiymaz (2015) conducted a study on 1,037 investment funds in China, revealing a positive correlation between the age of the fund and its operational efficiency Newly established funds face more challenges compared to long- established funds Newly established funds often encounter numerous challenges, especially in attracting capital and building an efficient and stable investment portfolio when capital is limited In contrast, long-established funds will have more market experience and can build credibility with investors, making it easier to attract capital Long-standing funds will also establish better internal management processes and control systems, enabling them to operate efficiently and optimize investment results Studies by Bauer et al (2005), Soeharto & Kisti (2014) also yielded similar results However, the study by Farid & Wahba (2022), Otten & Bams (2002) produced contrary findings

In this thesis, the author expects that the age of the fund will have a positive impact on the performance of the fund The research hypothesis is formulated as follows:

H 4 : The age of the fund has a positively significant impact on its performance

When an investment fund experiences positive net cash flow, meaning more funds are flowing in than being withdrawn, it helps the fund increase its capital Increased capital supports the fund in expanding its investment portfolio, enhancing profitability, and fostering growth A positive net cash flow also indicates investor interest and confidence in the fund, boosting the ability to attract new capital and diversify the investment portfolio Conversely, when the fund's net cash flow is negative, indicating that more funds are being withdrawn than invested, the fund loses capital This can limit the ability to expand and generate profits Negative net cash flow can also create pressure on the fund, requiring it to sell existing assets to meet investor withdrawal demands, impacting the structure and performance of the investment portfolio Studies by Gruber (1996), Zheng (1999), Chevalier & Ellison (1997), Nguyen et al (2018) show that net cash flow has a positive impact on the operational efficiency of the fund, contradicting the findings of Dichev (2007), Glenn

& Patrick (2004) In this study, the NCF variable is expected to have a positive impact on the performance of the fund The research hypothesis is formulated as follows:

H 5 : The net cash flow of the fund has a positively significant impact on its performance

When inflation increases, countries must implement tighter monetary policies to reduce the amount of money circulating in the economy, thereby directly affecting the cash flow in the market Additionally, rising inflation can erode the value of currency, reducing the real value of the fund's investments and impacting its performance The increase in inflation is often accompanied by an increase in interest rate, leading to market instability, making it difficult for the fund to manage its investment portfolio and increasing risks Studies by Adrangi et al (1998), Hermawan & Wiagustini (2016) have shown an inverse correlation between the inflation rate and the operational efficiency of the fund However, other studies, such as Setiawan & Kanila Wati (2019), Gusni et al (2018), Nurlis (2012), have reported consistent results Additionally, Wiradiyasa (2016) and Coffie (2019) concluded that the inflation rate is not statistically significant in relation to the performance of the fund In this thesis, the author examines the inverse correlation between the inflation rate and the performance of the fund with the following research hypothesis:

H 6 : The inflation rate has an inversely significant impact on the performance of the fund

Research by Karuiki (2014) on the correlation between macroeconomic factors and the operational efficiency of investment funds in Kenya has shown that money supply growth has a positive impact on the operational efficiency of the fund, consistent with studies by Hensawang (2022) and Oseyomon (2010) This indicates that when the money supply increases, it contributes to injecting new money into the economy, and a portion of it flows into the capital market, increasing the value of the fund's investment assets However, money supply growth can exert pressure on interest rates in the economy, as there is a risk of increased inflation, leading to market instability Hassan & Gezery (2009) and Makau (2016) have pointed out an inverse correlation between money supply growth and the performance of the fund Additionally, studies by Coffie (2019) and Nguyen et al (2018) have shown that money supply growth is not statistically significant in the research model In this thesis, the author expects that money supply growth will have a positive impact on the performance of the fund

H 7 : Money supply growth has a positively significant impact on the performance of the fund

Table 3.2: Statistical significance and expected signs of variables in the model

ID Variables Symbol Expected sign Researches

Ammann & Moerth (2005), Liang (1999), Bauer et al (2005), and Wermers (2000), Farid & Wahba (2022), Hornstein & Hounsell (2016), and Yan (2008)

Rehman & Baloch (2016), Soderlind et al (2000), and Fortin & Michelson (2005), Indro et al (1999), Elton et al (1993), Carhart (1997), and Afza & Rauf (2009)

Dowen & Mann (2007), Afza & Rauf (2009), Nazir & Nawaz (2010), and Rehman & Baloch (2016), Elton et al (1993) and Indro et al (1999)

Kiymaz (2015), Bauer et al (2005), Soeharto & Kisti (2014), Farid &

Gruber (1996), Zheng (1999), Chevalier & Ellison (1997), Nguyen et al (2018), Dichev (2007), Glenn & Patrick (2004)

Setiawan & Kanila Wati (2019), Gusni et al (2018), Nurlis (2012), Adrangi et al (1998), Hermawan & Wiagustini (2016)

Hassan & Gezery (2009), Makau (2016), Coffie (2019), Nguyen et al (2018), Hensawang (2022) and Oseyomon (2010)

Source: Compiled by the author

Sample and research data

The study is based on a database collected from the financial reports and operational reports of funds that have been audited and published directly on the official website of investment funds in Vietnam The data is collected monthly from January 2020 to December 2023 for 16 open-end funds and ETFs in Vietnam The list of funds in the research sample will be presented in Appendix 1 of the thesis

The study uses secondary data to measure dependent and independent variables, collected from monthly investment activity reports, and annual reports that have been audited from January 2020 to December 2023 for 16 investment funds in Vietnam Macroeconomic variables data are collected from the General Statistics Office of Vietnam and the World Bank

The year 2020 was challenging globally, with the world economy facing severe recession, and major economies experiencing deep contractions due to the negative effects of the Covid-19 pandemic and the ongoing U.S - China trade conflict Domestically, natural disasters and disease significantly affected economic activities and people's lives Unemployment rates and job shortages were high, directly impacting the country's GDP growth However, government initiatives, utilizing fiscal measures to stimulate demand, contributed to economic recovery, positively influencing the growth of the Vietnam stock market The abundance of funds in the economy, coupled with travel restrictions, stimulated a large number of individuals to participate in and invest in the stock market, seeking higher returns The period from 2020 to 2021 witnessed several records on the Vietnam stock market, with the VNINDEX surpassing 1,500 points (1,500.81 points) for the first time The number of new securities accounts reached 1.3 million accounts by November 30, 2021, more than triple the figure in 2020 The strong market breakthrough and increased public interest in the stock market contributed to the rapid development and growth in the number of investment funds during this period According to the State Securities Commission (SSC), from late 2021 to the end of December 2023, the number of investment funds increased from 47 funds with total assets of 32,219 billion VND to

105 funds with total assets of nearly 72,000 billion VND, representing an increase of over 123% in the number of funds and 123.4% in total assets Given these fluctuations, the thesis selects the research time frame from January 2020 to December 2023, totaling 48 months This duration is sufficient to reflect the changes in the value of assets held and the profitability of investment funds in Vietnam The period before 2020 had fewer funds, and the disclosure of information by funds was limited Therefore, this is also a limitation of the thesis as the research time is much shorter compared to studies in other developed markets

The research results are conducted based on panel data with the support of Excel and Stata 16.0 software.

RESEARCH RESULTS AND DISCUSSION

Current status of investment fund operations in Vietnam

The fund management industry in Vietnam began to take shape from July 2003 with the establishment of the Vietnam Investment Fund Management Company and the first investment fund in 2004 During the period from 1991 to 2001, foreign investment funds mainly operated in the market After nearly 20 years of formation and development, the fund management industry in Vietnam has undergone significant changes in terms of the number of securities investment funds, the scale of managed assets, and the types of investment funds

On May 20, 2004, marked the beginning of the fund industry in Vietnam when the first closed-end fund VF1 was licensed and listed on the Ho Chi Minh City Stock Exchange with an initial capital of VND 300 billion Initially, closed-end funds were popular, with their numbers increasing rapidly and dominating the majority of the total investment funds in Vietnam, but they were gradually replaced by open-end funds in the subsequent period Before 2012, most funds operating in the market were member funds, with only 4 closed-end funds, accounting for about 20% of the total number of funds In the period from 2012 to 2022, the legal framework for the operations of fund management companies and investment funds continued to be supplemented with new fund models (open-end funds, ETFs - passively managed funds simulating an index, real estate funds), marking the strong development of the fund management business in Vietnam Especially, the emergence of open-end funds and ETFs can be considered a turning point in the development of securities investment fund management The global experience and the development process in Vietnam show that open-end funds are the majority of investment funds in the market Open-end funds are also the foundational products for designing fund models linking with other markets such as the insurance market and the government bond market According to the Electronic Information Portal of the Ministry of Finance of Vietnam (2023), as of December 2023, the total number of operating investment funds in Vietnam has increased to 105 funds, witnessing a remarkable increase in the number of open-end funds, with 55 open-end funds accounting for 52.38% of the total investment funds in Vietnam In addition, there are 3 closed-end funds, 32 member funds, 14 ETFs, and 1 real estate fund, with a total net asset value (NAV) of nearly VND 72,000 trillion

Figure 4.1: Statistics on the number of investment funds and total net asset value (NAV) of funds in the Vietnamese stock market

Source: Author's compilation, State Securities Commission

* means: the value of the data is the approximate value based on official information from state agencies

The net asset value (NAV) of investment funds has seen continuous growth over the years In the period of 2012, the total NAV of funds reached 7,200 billion VND, and by 2023, it had surged to nearly 72,000 billion VND Particularly during the strong stock market growth from 2020 to 2021, the fund industry experienced a significant explosion, with the NAV of funds reaching a record high of 84,960 billion

VND, nearly 12 times that of 2012 The majority of this growth came from contributions of ETFs and open-end funds For instance, in 2021, all ETFs listed on the exchange showed outstanding NAV growth compared to the market Among them, the FUEVFVND ETF had the highest growth rate (57.87%), while the growth of the VN-Index was only 33.72% This growth is attributed to the overall market expansion and the efforts of fund management

In the process of developing the fund industry, various new types of funds have been introduced, such as open-end funds, real estate funds, and ETFs Among these, the participation of ETFs and open-end funds has made significant contributions to the market liquidity, providing investors with diverse investment options Open-end funds gradually gained advantages and replaced closed-end funds due to the nature of closed-end funds not repurchasing fund certificates from investors until fund closure, with a withdrawal period lasting from 3 to 7 years The total assets of ETFs and open-end funds globally have increased sharply from 2016 to 2022, with the total assets of open-end funds rising nearly 150% to 60.1 trillion USD by the end of 2022, showcasing the role of open-end funds In Vietnam, the number of ETFs and open- end funds has increased significantly, including both foreign and domestic funds

Figure 4.2: Statistics on the number of funds by type and percentage of open- end funds in the Vietnamese stock market

Source: Author's compilation, State Securities Commission

* means: the value of the data is the approximate value based on official information from state agencies

FTSE Vietnam ETF and VNM ETF were the first foreign ETFs to invest in the Vietnamese stock market, established in 2008 and 2009, with initial asset values of 5.1 million USD and 14 million USD, respectively In 2012, the State Securities Commission granted certificates for the first public offering of fund certificates for two entities: Bao Thinh Vinawealth Investment Fund (VFF) and MB Capital Vietnam Bond Investment Fund (MBBF) These were the first two open-end funds in Vietnam overseen by HSBC Vietnam Since their inception, open-end funds have played a crucial role in the fund industry in Vietnam Starting in 2016, open-end funds on the Vietnamese stock market began to experience strong growth in numbers, consistently accounting for over 50% of the total funds operating in Vietnam In 2023, according to the Electronic Information Portal of the Ministry of Finance of Vietnam (2023), there were 55 open-end funds established, representing 52.38% of the total funds currently operating domestically

Despite certain developments over the years, the operations of investment funds in Vietnam still face limitations compared to the market's potential Investment funds have not fully realized their role in attracting investment, guiding individual investors, and contributing to the stability of the stock market The number of listed funds on the Stock Exchange is still limited, and the trading volume is low compared to the total market trading volume (including stocks, warrants, and bonds) This hinders the fund industry from reaching potential investors in the secondary market However, the Vietnamese fund industry still has many bright spots In recent years, the performance of investment funds in Vietnam has continuously undergone positive changes, thanks to the support of sustainable economic growth, strong recovery post-Covid-19 pandemic, stable political environment, development policies, and the government's promotion of the stock market These conditions have facilitated the establishment of new investment funds, capital mobilization, and growth, providing efficiency and confidence for the investor community Moreover, the management capabilities of fund management companies are increasingly enhanced, and investors in the market have a better understanding of the stock market and investment funds, contributing to the overall development of the Vietnamese stock market and the fund industry in particular

Thanks to the growth in the effectiveness of operations and development of the fund industry, it has had a significant impact on the Vietnamese stock market Investment funds have played a role in diversifying investment channels, promoting sustainable and responsible securities investments, aligning with international trends for sustainable development Furthermore, some fund management companies have proactively and actively attracted investment capital from foreign investors, gradually creating a safe indirect investment channel for foreign capital into Vietnamese businesses, actively supporting Vietnamese businesses in fundraising through the stock market Additionally, through the development of bond funds, an efficient channel for directing capital from individual idle funds to businesses with capital needs has been established, contributing to improving the structure of the bond market.

Descriptive statistics

The results of descriptive statistics for the measured variables in the regression model are presented in the table below:

Table 4.1: Descriptive statistics of variables

Variable Obs Mean Std Dev Min Max

Source: Author's own statistics via Stata 16.0

Table 4.1 shows that all variables in the research model are balanced data, with

768 observations from 16 investment funds over 48 months Descriptive statistics for the variables are as follows:

Variable FRR: Represents the Sharpe Ratio of each investment fund, with an average value of -5.5316 and a standard deviation of 17.6077 This means that the average Sharpe Ratio ranges from -23.139 to 12.0761 The highest value is 23.4156, while the lowest is -151.2034 The Sharpe Ratio of investment funds in Vietnam may vary depending on the economic situation and market trends in different periods Variable TNA: Represents the total net assets and scale of each investment fund The analysis results show that TNA has an average value of 11.6192 The largest total assets that a fund can achieve are at the level of 13.0600, while the smallest value is 9.7786, with a standard deviation of 0.5738

Variable PTR: The analysis results show that the average portfolio turnover ratio of investment funds in Vietnam is 1.2406, with a standard deviation of 1.7002

PTR can reach a level of 2.9408, equivalent to more than 294% With such a high portfolio turnover rate, it indicates that there are periods when investment funds have to continuously restructure their portfolios to ensure investment performance or constantly adjust to seek investment opportunities to outperform the market This is a characteristic of active fund investment strategies

Variable FER: Represents the fund’s expense ratio, with an average value of 0.0195 and a standard deviation of 0.0097 The highest expense ratio that fund allocates for operation is 0.0602, while the lowest value is -0.0178

Variable AGE: The average logarithm value of the fund's age is 1.7867, with the highest value being 2.3729 and the lowest value being 0 This indicates that the oldest fund among the 16 investment funds studied, as of the research period, is the DCDS fund managed by Dragon Capital Vietnam, with a total operating time of 226 months until February 2023 The youngest fund is PVBF, which started operating in January 2020

Variable NCF: Represents the net cash flow in and out of the fund, with the average NCF for investment funds in Vietnam being 0.0356, with a standard deviation of 0.3513 The highest value of NCF is 8.7094, and the lowest is -0.5008 Variable INF: Represents the inflation rate measured by the Consumer Price

Index (CPI) in Vietnam during the research period from January 2020 to December

2023 The average value of INF during this period is 0.0019 after rounding, with a standard deviation of 0.0048 The inflation rate reached its highest level in February

2021 with a value of 1.52% (monthly basis), while the lowest value was -1.54% in April 2020

Variable MSG: Represents the monthly money supply growth in Vietnam during the research period from January 2020 to December 2023, with an average money supply growth rate of 4.44% The highest growth occurred in December 2020 at 14.53%, and the lowest was 0.32% in February 2023.

Research results

4.3.1 Correlation analysis of the research model

Table 4.2: Correlation matrix between variables

FRR TNA PTR FER AGE NCF INF MSG

Source: Author's own statistics via Stata 16.0

Based on Table 4.2 analyzing the correlation matrix among variables in the research model, it can be observed that, except for the independent variable INF, all other variables have a positive impact on the performance of the fund (FRR) Variables such as the total assets of the fund (TNA), portfolio turnover rate (PTR), fund’s expense ratio (FER), fund age (AGE), net cash flow (NCF), and money supply growth (MSG) all have a positive influence on the performance of investment funds in Vietnam

The correlation between each independent variable and the dependent variable

The independent variable TNA has a positive correlation with the dependent variable FRR at 0.0811, indicating that the total net assets of the fund positively impact the investment efficiency Therefore, an increase in TNA leads to a corresponding increase in the FRR

The independent variable PTR has a positive correlation with the dependent variable FRR at 0.0331, showing that the portfolio turnover rate positively influences the investment efficiency of the fund Hence, when the portfolio turnover rate is high, the fund's performance also tends to be higher

The independent variable FER has a positive correlation with the dependent variable FRR at 0.1462, suggesting that the expense ratio positively affects the performance of the fund Consequently, an increase in the expense ratio indicates that the fund allocates more resources to seek investment opportunities, leading to an increase in fund’s performance

The independent variable AGE has a positive correlation with the dependent variable FRR at 0.0529, indicating that the age of the fund positively influences the performance of the fund Therefore, funds with a longer operating history in the market tend to have higher performance compared to younger funds

The independent variable NCF has a positive correlation with the dependent variable FRR at 0.0628, indicating that net cash flow positively influences the performance of the fund Therefore, when the fund experiences positive net cash flow, it directly impacts the fund’s performance Conversely, negative net cash flow, signifying investor withdrawals from the fund, will negatively affect the performance of the fund

The independent variable INF has a negative correlation with the dependent variable FRR at -0.0062, showing that the inflation rate has an inverse impact on the performance of the fund Thus, an increase in the inflation rate in the economy leads to a decrease in the performance of the fund

The independent variable MSG has a positive correlation with the dependent variable FRR at 0.2126, indicating that the money supply growth positively influences the fund’s performance Therefore, an increase in the money supply in the economy contributes to an increase in the performance of the investment fund

Correlation between independent variables and multicollinearity test

Source: Author's own statistics via Stata 16.0

To ensure that multicollinearity does not occur in the model, the study conducted a test using the Variance Inflation Factor (VIF) The results are presented in Table 4.3 indicate that the Variance Inflation Factor (VIF) for all independent variables in the model is less than 10 According to Gujrati (2003), if the VIF is less than 10, multicollinearity in the model is considered not severe

4.3.2 Comparison between Pooled OLS, FEM, and REM models

4.3.2.1 Comparison between Pooled OLS and FEM models

The study conducted a comparison between the Pooled OLS and FEM models using an F-test with the following hypothesis:

H0: Selection of the Pooled OLS model

Table 4.4: Results of regression analysis according to Pooled OLS and FEM Independent

Source: Author's own statistics via Stata 16.0

Note: *, **, *** indicate statistical significance at the 10%, 5%, and 1% levels, respectively

Based on Table 4.4, the results of the OLS and FEM models show that the INF and AGE are not statistically significant in the OLS model For the remaining variables, TNA, PTR, FER, and MSG are statistically significant at the 1% level, while NCF is significant at the 10% level In the FEM model, only MSG is statistically significant, while the other variables are not statistically significant

Table 4.5: F-test to choose between two models Pooled OLS and FEM

Source: Author's own statistics via Stata 16.0

The F-Test results show that Prob = 0.0000 < 5%, thereby rejecting the hypothesis H0 or choosing the appropriate model as FEM

4.3.2.2 Comparison between FEM and REM models

Table 4.6: Results of regression analysis according to REM and FEM Independent

Source: Author's own statistics via Stata 16.0

Note: *, **, *** indicate statistical significance at the 10%, 5%, and 1% levels, respectively

The results of the REM analysis show that the independent variable NCF and MSG have statistically significant significance at a constant level of 10% and 1% respectively The remaining independent variables do not have statistical significance in the model

The study utilizes the Hausman test to choose between FEM and REM, with the hypothesis:

Table 4.7: Hausman test to choose between 2 models FEM and REM

Test: Ho: difference in coefficients not systematic

Source: Author's own statistics via Stata 16.0

From the results in Table 4.7, Prob > chi2 = 0.6370 > 5%, so we accept the null hypothesis H0, indicating the choice of the Random Effects Model (REM)

Conclusion: After comparing the three models Pooled OLS, FEM, and REM, the study selects the REM model to determine the factors affecting the performance of investment funds in Vietnam

Results of the Largrange test

The thesis employs the Largrange test with the null hypothesis H0: there is no heteroscedasticity, to examine the phenomenon of changing variance of the model's residuals

Source: Author's own statistics via Stata 16.0

From the results in Table 4.8, the Wooldridge test indicates Prob > Chibar2 0.0000, thus rejecting H0 This implies that the model exhibits the phenomenon of changing variance of residuals

Results of the Wooldridge test

The thesis performs an autocorrelation test within the model using the

Wooldridge test with the null hypothesis H0: there is no autocorrelation

Table 4.9: Results of the Wooldridge test

Source: Author's own statistics via Stata 16.0

From the results in Table 4.9, the Wooldridge test shows Prob > F = 0.6004 Therefore, Prob > 5%, indicating acceptance of the null hypothesis H0, suggesting that the model does not exhibit autocorrelation

Through these test results, it can be observed that while the research model shows the phenomenon of changing variance of residuals, there is no evidence of autocorrelation

After conducting tests and identifying the shortcomings of the models, it was observed that the model still exhibits the phenomenon of changing variance of residuals Therefore, the author employs the Generalized Least Squares (GLS) method to address this violation and ensure the efficiency of the obtained estimates

Table 4.10: Results of GLS regression analysis

Source: Author's own statistics via Stata 16.0

Note: *, **, *** indicate statistical significance at the 10%, 5%, and 1% levels, respectively

The results from Table 4.10 indicate that, for the dependent variable FRR, after employing the GLS method to address the issue of changing variance of residuals, the model becomes statistically significant, and the model's outcomes are appropriate Therefore, the equation for the research model is as follows:

FRR it = –34.49 + 2.029 TNA it – 0.976 PTR it + 218.6 FER it + 2.141 AGE it

+ 3.101 NCF it + 65.94 MSG it + ε it

Table 4.11: Testing results using the GLS method

Variables Expected sign Research results

TNA + Same direction, statistically significant at 1% level

PTR - Opposite direction, statistically significant at 1% level

FER + Same direction, statistically significant at 1% level

AGE + Same direction, statistically significant at 5% level

NCF + Same direction, statistically significant at 1% level

INF - Opposite direction, not statistically significant

MSG + Same direction, statistically significant at 1% level

CONCLUSION AND RECOMMENDATIONS, POLICY

Conclusion

Based on theoretical foundations, experimental evidence, models, and research methods developed in Chapter 3, statistical descriptive methods, correlation analysis, and regression analysis were further conducted to identify the factors affecting the performance of investment funds in Vietnam during the period from January 2020 to December 2023 Specifically, the research provided answers to the research questions as follows:

To address the first research question regarding the factors influencing the performance of investment funds in Vietnam, the thesis formulated hypotheses, conducted research, and estimated regression models using the GLS method The conclusions were drawn regarding the micro and macro factors affecting the performance of investment funds The results showed that there are four micro factors, including total net assets (TNA), portfolio turnover rate (PTR), fund’s expense ratio (FER), and fund age (AGE), along with one macro factor, which is the money supply growth (MSG), that significantly influence the performance of investment funds

For the second research question regarding the direction and magnitude of the impact of these factors on the performance of investment funds, the research draws conclusions based on the results presented in Table 4.11 in Chapter 4 The findings are summarized as follows:

Total fund net assets (TNA) positively influence the performance of the fund (FRR) with statistical significance at 1% In conditions where other factors remain constant, an increase of 01 unit in TNA leads to a corresponding increase in the performance of the fund (FRR) by 2.029 unit

Portfolio turnover rate (PTR) negatively influences the performance of the fund (FRR) with statistical significance at 1% In conditions where other factors remain constant, an increase of 01 unit in PTR results in a corresponding decrease the performance of the fund (FRR) by -0.976 unit

The fund's expense ratio (FER) positively influences the performance of the fund (FRR) with statistical significance at 1% In conditions where other factors remain constant, an increase of 01 unit in FER leads to a corresponding increase in the performance of the fund (FRR) by 218.6 unit

The fund's age (AGE) positively influences the performance of the fund (FRR) with statistical significance at 5% In conditions where other factors remain constant, an increase of 01 unit in AGE leads to a corresponding increase the performance of the fund (FRR) by 2.141 unit

Net cash flow (NCF) positively influences the performance of the fund (FRR) with statistical significance at 1% In conditions where other factors remain constant, an increase of 01 unit in NCF results in a corresponding increase in the performance of the fund (FRR) by 3.101 unit

Macro factor, money supply growth (MSG), positively influences the performance of the fund (FRR) with statistical significance at 1% In conditions where other factors remain constant, an increase of 01 unit in money supply growth (MSG) leads to a corresponding increase in the performance of the fund (FRR) by 65.49 unit

For the third research question, which focuses on solutions and recommendations to help fund managers adopt appropriate and secure investment strategies, the answer will be provided in the subsequent presentation in Section 5.2 The dissertation will offer suggestions and policy implications for fund managers and investors in the market.

Policy implications

5.2.1 Proposals regarding fund size for investment funds in Vietnam

Through the dissertation's research, the results show that the fund's total assets have a positive impact on the fund's performance This indicates that increasing assets will provide the fund with more resources, leading to improved operational efficiency and profitability Given the relatively small size of funds in Vietnam's developing economic environment and the nascent investment fund industry, increasing assets can enhance operational efficiency and fund profitability However, as noted in studies by Farid & Wahba (2022), Hornstein & Hounsell (2016), Yan (2008), the relationship may change at a certain point due to inefficiency at scale Therefore, the following proposals are suggested:

Firstly, investment funds should continue to exploit the potential investment environment in Vietnam in the coming years, increasing investments in profitable assets, especially stocks of companies with strong foundations, to achieve optimal profitability As the fund's total assets increase, fund managers need to have the capacity and professional expertise to manage and allocate resources efficiently to avoid inefficiencies at scale This includes providing in-depth training on risk management, market analysis, and investment strategy to help fund managers seize opportunities and overcome challenges effectively Therefore, selecting and developing the capabilities of fund managers is crucial as the fund's total assets are expected to increase rapidly in the near future

Secondly, when the fund's total assets increase rapidly, concentrating on a few initial investment strategies may be inappropriate and less effective Diversifying new investment strategies that align with the scale and profitability goals is crucial This may involve increasing investments in various financial instruments and adding new financial products as the Vietnamese market develops and opportunities arise in both domestic and international markets due to the improving legal framework for investment

Thirdly, enhancing risk management and transparency in fund operations is essential for maintaining effective and reputable fund operations in the market As assets increase, corresponding risks will also rise, making it imperative to strengthen the risk management system, including assessing, monitoring, and managing hidden risks in the investment portfolio and potential risks that may arise in the future Additionally, ensuring transparency and providing accurate, comprehensive information about fund activities will build trust and better evaluations from investors, promoting the development of the investment fund industry

5.2.2 Proposals regarding portfolio turnover rate for investment funds in Vietnam

The research results indicate that portfolio turnover rate (PTR) has an inverse impact on the performance of investment funds A fund executing more transactions is likely to decrease its performance due to increased operating and transaction costs Therefore, to enhance fund’s performance by reducing portfolio turnover, the following proposals are suggested: given the challenging economic conditions, investment funds should alter their investment strategy, focusing on a passive investment strategy, investing and holding for the long term, rather than an active strategy that increases transaction frequency This helps reduce transaction costs and optimize long-term profitability from investments Additionally, investment funds should increase risk management for investments in the portfolio while seeking potential investment opportunities to avoid continuous portfolio restructuring when market conditions deviate from expectations

5.2.3 Proposals regarding expense ratio for investment funds in Vietnam

The research findings indicate that expense ratio has positive impact on the As expense ratio increase, funds will engage in more research activities, thereby increasing the profitability efficiency of the fund through potential investment opportunities However, an increase in expense ratio will directly impact the fund's profit Therefore, investment funds need to establish a reasonable and flexible expense structure, increasing operating and research costs during favorable market conditions and limiting them during volatile market conditions Additionally, human resources, including specialized teams, need motivation to work efficiently and productively Therefore, increasing salary and bonus expenses for employees will enhance competitiveness, creating an effective working environment, ultimately increasing the performance of the fund

5.2.4 Proposals regarding fund age for investment funds in Vietnam

In the Vietnamese market, according to research results, the age of the fund has a positive impact on the performance of investment This suggests that a fund with a long-term presence in the market will have higher performance compared to younger and newly established funds Over the long term, investment funds can build credibility with investors, making it easier to attract capital from new investors Therefore, the following proposals are made: for newly established funds with limited operational time, transparent information is crucial to build trust with investors Focusing on establishing connections with each investor will build commitment, maintaining a positive cash flow into the fund to sustain resources and seek investment opportunities to improve operational efficiency For well-established funds, aside from maintaining efficiency and credibility with investors, they should focus on risk management and create a risk buffer through highly liquid investments to avoid unexpected market fluctuations Additionally, expanding and developing new investment products suitable for different investor groups will attract new capital, increasing the fund's scale and performance

5.2.5 Proposals on net cash flow for investment funds in Vietnam

A fund with a positive net cash flow will help increase its scale and resources for allocating investments into more attractive opportunities Research results indicate that net cash flow positively influences the fund's performance The implication is that when cash flow from new investors or profits from investments increases and exceeds the outflow from investors exiting the fund, the fund's performance correspondingly improves Therefore, the thesis presents the following proposals:

Firstly, investment funds should enhance brand image through communication channels such as social media platforms, Facebook, YouTube, by sharing news about fund activities, market updates, and market analyses This not only attracts new investor interest but also provides information to enhance financial knowledge within the Vietnamese investor community

Secondly, establishing customer care protocols and optimal support to help investors feel comfortable and secure when investing in the fund is essential Currently, investment funds only focus on improving operational efficiency through staff training and fund management quality However, neglecting investor needs and sentiments diminishes the fund's attractiveness and competitiveness Hence, constructing customer care protocols where investors are prioritized will be advantageous in today's competitive environment

Thirdly, continuously updating and applying new technologies into the system, especially upgrading the interface of the information system and the fund's website to be more user-friendly, coupled with an efficient support system to address inquiries promptly, will be a plus point in the eyes of investors This attracts more net cash flow into the fund, ultimately enhancing the fund's performance

5.2.6 Proposals on money supply growth for investment funds in Vietnam

Research indicates that money supply growth has a corresponding impact on the fund’s performance When money supply growth in the economy increases, it supports an influx of capital into the capital market, stimulating a more dynamic and positive market As a result, the performance of investment funds increases alongside the market's positive momentum However, a strong influx of money into the market can lead to the phenomenon of a "market bubble," with assets being mispriced Therefore, funds need to proactively manage and respond to such situations The dissertation proposes the following recommendations:

Funds should maximize investment opportunities in the market when money tends to flow into the capital market due to increased money supply This involves allocating resources and research costs to explore potential investment opportunities with high and realistic profitability rates Additionally, funds should proactively adjust the allocation and structure of portfolios based on the money supply growth to achieve efficient returns

However, when the flow of money into the market tends to slow down or investor sentiment becomes excessively optimistic, investment funds should restructure their portfolios At the same time, they should prioritize risk management, especially when market assets are prone to being overvalued, to mitigate risks during market volatility.

Limitations of the study and future research directions

The study was conducted using data from 16 investment funds in Vietnam, with continuous data spanning from January 2020 to December 2023 Despite having a sample size of over 768 observations, the study still does not fully encompass all the investment funds currently operating in Vietnam to provide a comprehensive and accurate assessment of the investment fund industry in the country Due to limitations in research time and data availability, the thesis still has several limitations that the author could further develop in subsequent research, such as: the thesis lacks many funds that have been operating for many years and have large scales in the Vietnamese market, due to limitations in data collection from funds, the thesis fails to evaluate the overall fund industry in Vietnam The research model is also limited as it only investigates 07 factors influencing the performance of funds, while there are many other factors that have an impact but have not been included in the model, such as: the fund's investment strategy, the ability to assess investment timing, the experience of fund managers, etc Therefore, the independent variables in the research model may not fully reflect all the causes influencing the performance of investment funds in Vietnam

In terms of time, future studies could extend the number of years chosen for research in the upcoming years

In terms of space, future studies could expand the scope of research not only to investment funds in Vietnam but also to compare with investment funds in other emerging markets that operate under similar conditions to Vietnam

Secondly , broadening the content of the research

In terms of research content, the current thesis focuses on internal factors of investment funds as well as tests a few macroeconomic factors affecting fund’s performance In subsequent studies, the author will consider and expand the research to include other factors related to the psychological factors and behaviors of investors and fund managers in the market Additionally, other micro and macro factors that attract investors' attention in the market will be explored to enhance the relevance and comprehensiveness of the research model

Thirdly , changing the research model

Instead of using the GLS regression model as currently applied, the author will explore other research models such as the "Three-factor Fama-French model" or measure fund’s performance using methods like Treynor, Jensen's alpha, etc Through this, the research will provide more objective insights into the factors influencing the performance of investment funds

Building on the conclusions drawn in Chapter 4, Chapter 5 presents several recommendations and policy implications for fund managers to enhance the performance of investment funds in Vietnam The chapter highlights the limitations of the thesis and proposes directions for future research studies

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LIST OF INVESTMENT FUNDS IN VIETNAM IN THE

2 BVFED Baoviet Equity Dynamic Open-ended Fund

3 BVPF Baoviet Prospect Equity Open-ended Fund

4 DCBC DC Blue-chips Investment Fund

6 DCDS DC Dynamic Securities Fund

8 MAGEF Mirae Asset Vietnam Growth Equity Fund

10 VEOF VinaCapital Equity Opportunity Fund

11 VESAF VinaCapital Equity Special Access Fund

12 VFF VinaCapital Enhanced Fixed Income Fund

13 VFMVSF Vietnam Select Equities Investment Fund

14 VIBF VinaCapital Insights Balanced Fund

RESEARCH DATA

1 Data on fund performance (FRR) of 16 investment funds for the period from January 2020 to December 2023

E1VFVN30 DCBC DCDS DCBF VFMVSF VEOF VFF VIBF VESAF MAGEF VNDAF VNDBF PVBF BVBF BVPF BVFED

2 Data on total net asset (AGE) of 16 investment funds for the period from January

E1VFVN30 DCBC DCDS DCBF VFMVSF VEOF VFF VIBF VESAF MAGEF VNDAF VNDBF PVBF BVBF BVPF BVFED

3 Data on portfolio turnover rate (PTR) of 16 investment funds for the period from January 2020 to December 2023

E1VFVN30 DCBC DCDS DCBF VFMVSF VEOF VFF VIBF VESAF MAGEF VNDAF VNDBF PVBF BVBF BVPF BVFED

4 Data on fund’s expense ratio (FER) of 16 investment funds for the period from January 2020 to December 2023

E1VFVN30 DCBC DCDS DCBF VFMVSF VEOF VFF VIBF VESAF MAGEF VNDAF VNDBF PVBF BVBF BVPF BVFED

5 Data on fund’s age (AGE) of 16 investment funds for the period from January

E1VFVN30 DCBC DCDS DCBF VFMVSF VEOF VFF VIBF VESAF MAGEF VNDAF VNDBF PVBF BVBF BVPF BVFED

6 Data on net cash flow (NCF) of 16 investment funds for the period from January

E1VFVN30 DCBC DCDS DCBF VFMVSF VEOF VFF VIBF VESAF MAGEF VNDAF VNDBF PVBF BVBF BVPF BVFED

7 Data on inflation rate (INF) and money supply growth (MSG) in Vietnam for the period from January 2020 to December 2023

REGRESSION RESULTS

3 Regression model results according to Pooled OLS

4 Regression model according to FEM

5 Regression model according to REM