The Study Of Persistence Of Mutual Fund Performance Of China

Study of persistence of mutual fund performance is of important significance in theoretical and practical area: firstly, investors could forecast performance of fund on the base of its past performance, to provide propitious for buying, holding or selling funds. Secondly, the persistence of performance is an important factor to evaluate the professional ability of fund manager. Finally, scholars can study the development of equity market of China, the relationship between mutual fund and other Financial Instruments, such as stock bonds, then master the characters of equity market, test the persistence and put forward some suggestion to promote the development of capital market.Based on the research of other scholars and the development of fund market of China, this paper choose 66 funds and the period from December 2003 to December 2006 as sample. Empirical testing method is non-parametric method. The first step is to design three different benchmark yields, corresponding to different investing scope of fund, to observe the difference between the sample fund and the benchmark. Then, it examines the persistence of the whole sample,close-end fund and open-end fund by contingency table, Spearman rank correlation coefficient test and M2 measure method separately. Finally, the author test the stock selection ability and market timing ability of fund manager.Empirical tests have shown that there isn't obvious persistence of short-term yield of funds, but significant persistence of long-term yield. Besides fund managers in our country are short of stock selective ability and timing ability. Investors could not only make up the invest decision only by the analysis of the past performance of funds.This paper also analyst the factors which affect results, including ability of fund managers,development of capital market of China and the Regulation of fund industry. In the last part, the paper make out the suggestions based on empirical results and factors.