Fund Manager Replacement Fund Performance Persistence

The persistence of fund performance is important for fund research. Fund performance persistence is the correlation between fund performance. The winner funds remain winner funds. The loser funds remain loser funds. Many scholars have researched on persistence. Jensen, Goetzmann, Ibbotson have done such research.This research is on the persistence of fund performance considering the turnover of fund managers. This research sample is decile ranked fund sample. To some degree, the research topic on fund performance persistence is testing the efficient market hypothesis. Domestic research on fund performance persistence is on the whole fund sample. Individual investors tend to buy the top ranked fund instead of the bottom ranked fund. So this research is meaningful.We hope that our research is helpful for investors, regulators, fund management companies. From the investor perspective, what will be the impact that replacing the fund manager of a good performance fund as well as a bad performance fund. From the regulators perspective, it is important to make appropriate policies to ensure the timeliness of information disclosure of fund manager replacing to improve the quality of information disclosure. From the fund management companies perspective, fund companies can understand their operation efficiency in terms of after the replacement of the fund manager. Our research can provide some evidence.Our research designed group ranking method to test the persistence. This method enjoys advantage over traditional method. Comparing to traditional method, group ranking method can provide the magnitude of the performance change.Our research use three factor model excess return, market excess return, Sharpe, Treynor, and use regression to test the influence of manager change on fund performance. In the regression, we controlled some factors, to test the robustness of our conclusion.Our research find out that the whole fund sample is not persistent. In the sample, the winner fund group is not persistent. The loser fund group is persistent. The change of fund manager has influence on the fund performance. While controlling the fund age, fund fee and etc, we can still get the conclusion that fund manager has influence on the fund performance.