Empirical Analysis On Performance Persistence Of Chinese Open-end Fund

Open-end fund market in China has achieved rapid development in a short period, since the CSRC issued the "open-end securities investment fund pilot approach" on October 8,2000 and the first open-ended fund, "Hua An innovation" birthed in September 2001. But investors are confusion because of numerous funds, and they are also lack of mature selection mode. If performance is continuity, investors can get excess return through bought funds outstanding funds and sell poor performance funds, and no need to spend a lot of money and time to evaluate, select fund managers and concern other fund information. Sustainability development of past performance is an important indicator of the fund, professional competence and the level of investment fund managers evaluated by fund companies, and is also a basis for adjust the investment decision. In addition, the sustainability can help to grasp the operational characteristics and test the effectiveness of the fund market.The paper took empirical test on performance persistence of Chinese open-ended fund, within the market is in an adjustment phase, up phase, down phase and the overall cycle in the period of June 2004 to December 2009, using the existing fund performance evaluation methods and models, and selecting the Fama-French three-factor model and Jensen index as evaluating indicators. The empirical test included both parametric method and non-parametric method.The empirical test shows that China's fund market has the characteristics of risk diversification, investors could obtain superior earnings by fund investment. Because earning and risk both in fund investment, not all investors could get earnings above the market level. The performance of open-end funds does not have persistent at four phases, but poor performance fund is persistent. Good performance fund is persistent in rising phase and the overall cycle. Moreover, it has been reversal in adjustment phase and down phase. Results are consistent with non-parametric methods and parameters methods. And open-end fund performance reversed near A-share index of 10 day moving average turning point. In addition, the consequence of two methods display that China's fund market is still a weak efficient market.Basis on empirical research, the paper analysis the reasons of fund performance persistence, and give some suggestions within the different market circumstances to investors.