A Research On Comparison Among Persistence In Mutual Fund Performance With Different Investment Style

Along with the transformation of the investment style in the market, mutual fund which have different style will face different risk and income condition, and persistence in each kind of mutual fund performance will be different. In this article, using the primitive returns ratio, the Sharpe index returns ratio and the Jensen index returns ratio, I demonstrate the different persistence in the growth fund performance , the value fund performance and the balanced fund performance.Firstly, using cross-section regression model to examine absolute persistence in the three kind of fund, I conclude that only the Sharpe index returns ratio of the balanced fund displayed a little persistence in 2007, the other two kind of fund have not displayed persistence. when using the Jensen index returns ratio, none of the three kind of fund displayed predictability, which indict that none of the three kind of fund can defeats the market. Secondly, in this article, I used the method of scan statistics to examine relative persistence in the three kind of fund performance . In other words, compared with the other fund having the same style, Whether its outstanding achievement can persist. The result indicated that when appraises the fund achievement by the different returns ratio, persistence in each kind of fund's outstanding achievement and underperformance are different, but generally speaking, all the sample fund displayed the strong relative persistence . The second application of scan statistics model in this paper is examines relative persistence in the single fund performance. In this part, I calculated the degree of Persistence for each sample fund and expected that can provides certain reference for investor's decision.