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China Investment Fund Performance Persistence

Author: LiXiaoLi
Tutor: ChenYongSheng
School: Southwestern University of Finance and Economics
Course: Finance
Keywords: Securities Investment Fund Performance Persistence Performance Evaluation Direction
CLC: F832.51
Type: Master's thesis
Year: 2005
Downloads: 247
Quote: 0
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Abstract


With the securities investment funds in the rapid development of our country, for the evaluation of fund performance become the focus, performance persistence of foreign fund industry has also been a research focus. The so-called fund performance persistence refers to the attached inspection period, pre-performing fund in the next issue will get better performance, whereas poor performance of the fund next performance will be bad. If you can confirm the performance of securities investment funds continued existence, can be based on past performance of securities investment funds level is reasonable to assume their future profitability. In addition, as securities investment fund performance is a reflection of fund management market timing and the ability to establish a reasonable portfolio, so that the continuity of the research fund performance can also be used to fund managers for a reasonable evaluation. For continuity of fund performance in recent years has become one of the hot academic research at home and abroad, foreign scholars using a variety of methods in a different range of empirical research, but research has not been a more consistent conclusions. Fund performance persistence literature can be traced back to Jensen study conducted, Carlson Jensen index for each period that there was a significant correlation; and Jensen opposite conclusion, Hendricks found that only a maximum duration of one year. Geci Man (Goetzmann) and Ibbotson (Ibbotson) investigated between 1976 to 1985, in order to select a sample of U.S. investment fund as a fund portfolio performance, study investment income for two years. The results show a good performance at the beginning, 62% in the next sample period maintained a good performance, but poor performance of the fund at the beginning 63% of the samples fall into the next period of poor performance parts. The results showed that: at least part of the Fund's performance is due to master a certain skill and luck has nothing to do with, so the corresponding performance in each period with a certain continuity. And Malkiel (Malkiel) using the same method, the 1970s and 1980s a large sample study fund performance continuity, but got different results. His research showed that the continuity of fund performance is only a vague inference. In the 1970s, the first year in the better performing funds in subsequent years where the number is falling can maintain twice the number of poor performance. By the 1980s, this proportion is not determined. Recently, domestic scholars also on the domestic securities investment fund performance continuity of phase two related studies. For example, Liu Hongzhong such use does not exclude the placing of new income fund week yield measurable benefits fund, the securities investment fund's performance and sustainability were evaluated and analyzed. The results showed that: the performance of securities investment funds, including the original gain in quarterly earnings and risk-adjusted returns) does not exist on persistence. In the research fund performance persistence, the paper uses two methods to inspect, and strive for performance persistence to get a more objective and accurate conclusions. One is the two-way table method, according to the fund yields will fund classified as two types of winners and losers, and then continue to be calculated the probability of winners and losers, in order to determine the fund performance persistence situation. Another analysis is regression analysis, the Fund over each evaluation period excess earnings results or the composition of the sequence of the corresponding cross-sectional ranking of income over a cross-sectional regression results of sequence, and then the slope coefficient t-test to determine Whether early gains can be used to predict future earnings. This paper is divided into four chapters, chapter gives an overview of the characteristics and investment funds regime development, the second chapter of this study design, including research methods and assumptions, and the third chapter is empirical analysis, using a two-way table methods and regression model for China's securities investment fund performance persistence of long-term and short-term empirical analysis, and empirical results, which must be analyzed. Through the above theory plus empirical analysis, the article concludes the last part, and to performance persistence analysis of problems and deficiencies, made their tentative suggestions and countermeasures. Keywords: securities investment funds, performance persistence, performance evaluation, two-way table

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