Empirical Research On Performance Perisitence Of China’s Open Fund

With the development of Chinese capital market, security investment funds, in particular, open-ended funds are playing a more and more important role. Additionally, as a new type of investment vehicles, open-ended funds have been understood and accepted by the majority of investors. In recent years, securities investment funds have become an important means of financial management for ordinary people. At present, domestic and foreign scholars pay more attention to the Security Investment Funds Performance Evaluation Research.Fund performance persistence means that a fund with the excellent perform-ance is more inclined to be well in the subsequent period of time and a fund with poor performance is more inclined to be badly, which is often said that "the strong continue to be strong and the weak continue to be weak ". The research of persistence in fund performance has already infiltrated several aspects of study on fund investment. In fact, it is a very important and challenging subject in modem financial study. The research on persistence in fund performance can not only dig out more useful information in order to help investors, but also provide efficiency reference for the fund management company to judge the operating abilities of the managers.Basing on the previous studies and Chinese security investment funds practice, this paper takes the methods of theoretical and empirical analysis to evaluate performance of our open-ended funds performance persistence.The following are the main contents of this article:The first part is the introduction. This part provides the research background and significance. It contains a systematic review of domestic and foreign scholars’ research. In addition, it also briefly describes the content of this article, research methods and innovation of the article. The second part is the research of fund performance evaluation indicators. First, I introduce the previous studies of evaluation index. Then the return series is detected to prove that common indexes are not sui-table for Chinese funds. Third, I describe Modified Sharpe index. This index uses bootstrap and Historical simulation to improve the standard deviation of Sharpe index. At last, the return series of96funds from2005to2010are calculated inored to obtain the improved Sharpe index, then sequence them. The third part explore whether Fund performance persistence exists. This part discusses the Fund perfo-rmance persistence of different evaluation periods(3months,6months,12months,24months).CPR test, Chi-square test and Fisher test are used. The fourth part disc-usses the factors of Fund perfomance persistence. Because of Subprime mortgage crisis, this part examines the result of the third and fourth part to research the effect of crisis. The last part of the article is the conclusion. This part is the recapitulative summarize of the demonstration results of the entire article. We also put forward some suggestions according to our result.Through empirical analysis, conclusions of the paper is as follows:First, the fund performance persistence are different in different evaluation periods. Second, investment style is an important factor of fund performance per-sistence. Third, subprime mortgage crisis influences fund performance persistence.