Theoretical Analysis And Empirical Study On The Performance Persistence Of Securities Investment Fund

With the rapid development of China's fund industry and the securities market. Fund Performance Persistence became the focus of attention in market theory research and practice fields. To the investors, the continuing research about fund performance history can provide the basis for future investment choice in different fund companies in order to maximize their interests; Fund management companies may find the gap with other fund management companies in profit, thereby strengthening management to improve the level of management, promote competition among fund management companies, China has helped improve the overall management of the fund management company, Optional fund management companies to improve the management of selecting stocks; According to the health department to monitor the development of the fund industry to formulate corresponding policies and measures to promote the fund industry's prosperity; Meanwhile, Fund Performance Persistence is one of the ways to test the effectiveness of the capital market. Research about the sustainability of the performance of securities investment funds is very common in developed countries.The research mainly begins in the 1960s of the 20th century, First, Jensen (1968), Carlson (1970). Williamson (1972) and others began to do Empirical research and indicates that a large number of mutual fund performance has no continuity. In 1980s of the 20th century, the fund has received renewed attention in a sustained research. Ruiz Agudo was more influential. Patel and Zeckhauser (1993) and others conducted in-depth and sustained performance of the Fund, relatively better or worse the past found some of the proceeds of the mutual funds have shown a sustained performance: and for the first time a sustained effect "players (Hot Hand)" definition is "strong Hand" Grinblatt and Titman (1992) with a sample of 279 fund performance data. Jensen targets for their return after two periods of self-examination and found that the performance of mutual funds is sustainable. Goetzman and Lbboson (1994) adopted since the handover dichotomy of the test methods and test and sons (1997), four-factor model-based analysis of the U.S. stock funds have access to the same conclusion that the continuing performance of the Fund.In recent years, some Chinese experts and scholars such as NI Suyun, Xiao Hui and Wu Chongfeng(2002) made a research about the 22 closed-end funds in 1999.10-2001.11,using risk-adjusted return, the cross-section regression method and found fund short-term sustained performance of the empirical analysis. YANG Yican and Mao Ning (2003) showed in Table investigated with the first quarter of 2000 to first quarter of 2003 ( A total of 13 sets of data) closed all the original receipts for securities investment funds rate, it was found that Fund Performance Persistence. Liu Hongzhong (2001). Liu Jianhe (2002), the small sample used in our study finds that the sustainability of the Fund's performance.In light of the above, experts and scholars at home and abroad continued to study the performance of the Fund failed to reach agreement on the conclusion, In this paper, the sustainability performance of the Fund conducted a study again, used mainly by independent testing (performance dichotomy) and the correlation coefficient (regression coefficient test) methods, China Fund in 2003 to 16 in 2004 and two years in the performance of the empirical research. The content includes: (1) the latest development of China's securities investment funds (2) Experts and scholars from home and abroad are continuing performance of the Securities Investment Fund Literature of the study (3) study on the Fund Performance Persistence (4) of China's Securities Investment Fund Performance Persistence the empirical testing (5) performance of the Fund and the continuing sources of the Fund's performance and the continuing impact of factors not obvious the analysis. (6) The adoption of the above studyConclusion based on the above research: (1) The Fund is not one between performance on sustainability, and the six-month performance nor sustainable. The conclusion shows that China's investment funds in January net growth is not sustainable. The net growth of the relatively long time also has no continuity. (2) Chinese fund market in the evaluation period can not be overcome. rely on the pre-selection difficult to obtain good performance, the Fund's investment strategy excess receipts (3) Based on the Fund's net weekly over-enrollment The correlation coefficient before some late interest rates negative, there is the function of fund performance, Note investors to pay more attention to early investment in the poor performing funds. (4) Factors affecting the sustainability fund performance, fund managers seeking hot stocks, and market imperfections. Short-fund managers lack the necessary mechanisms and hedge instruments, fund performance data itself and so on.The main contribution of this paper:First, the proceeds used the original data for research, unlike the majority of experts and scholars using risk-adjusted income data. The main reason is that although the majority of investors have a better understanding of the risks. However, in equity funds or to invest in securities investment funds for evaluation, the reality is often fond of risk-adjusted returns and not through theoretical yield. Fund Performance Persistence conclusion of this study more realistic value. Second, the two traditional methods used in this paper Fund Performance Persistence of empirical research, Fund Performance Persistence of the theory of the origin. Fund performance on the basis of these theories are less obvious, the reason for the continued study shows that The evidence is not merely confined to the Fund's performance for the presence or continuous level, This paper is a bit small contribution them.Third, in this final view of the above findings to the development of China's securities investment funds put forward their own proposals : Construction of a more scientific and rational fund performance evaluation system; development of a scientific and reasonable method to determine whether the continuing performance of the Fund; Fund managers and improve the professional standards of quality; timely launch stock index futures, options and other derivatives species avoid systemic risk to the fund managers to provide appropriate investment which will be conducive to maintaining the sustainability performance of the Fund.