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The Study on the Persistence of Open-end Funds Performance

Author: GaoJingJing
Tutor: YeDeLei
School: East China Normal University
Course: World economy
Keywords: Open-end fund Performance Persistence Jensen's Alpha
CLC: F832.51
Type: Master's thesis
Year: 2010
Downloads: 104
Quote: 0
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Abstract


With the vigorous development of China's securities market, the fund industry in China in recent years the rapid development of the end of 2009, China had 60 fund companies and 625 funds listed run the new set up only in 2009, there are 140 open-end fund. Faced with hundreds of fund products, and how their performance scientific evaluation and analysis has become the focus of attention. Evaluation and analysis of the Fund, whether ordinary fund investors or professional fund rating agencies, through the analysis of the past performance of the fund and expected future earnings of the Fund as a basis for comparison. But the historical performance of the fund performance, the ability to predict the future, that is, whether the fund performance has a persistent problem and no one recognized the answer, especially the relatively short history of the development of China's open-end fund research in this area relative to developed countries more lack Thus, this paper attempts to test whether the results of the open-end fund has a persistent empirical data. Firstly, the method of assessment of the performance of the Fund with the review and analysis of an empirical test, followed by persistent fund performance. Established before July 1, 2005, 27 open-end equity funds in the four years from 2006 to 2009 monthly, quarterly, semi-annual, annual performance results of ongoing empirical research, the regression model of fund absolute performance testing, inspection contingency table method relative performance. The empirical results show that the absolute performance of the Fund in the short term (monthly, quarterly) persistent significant. The relative performance of the Fund relative to the industry average of both short-term or long-term did not exhibit significant persistence, that the past performance of funds located above the industry average does not mean that future performance can be maintained above the industry average. The Fund to obtain excess returns relative to the market benchmark persistent in the short-term (monthly) significantly in the medium to long term (quarterly, semi-annual, annual) persistent significant. Thus, in the short term, investors can better than the market benchmark fund by investing in short term performance to be obtained in the future more than the market benchmark revenue. At the same time, in the selection of funds, investors can not be too dependent on the historical performance of the fund, and the fund management companies, fund managers, and other factors should be considered.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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