The Open-end Fund Performance Persistence Analysis In Our Country

With the high-speed development of our country’s economy and the increasing of the per capita income level, the needs of many small and medium investors to participate in social investment are growing.Small and medium investors do not have too much money.It is difficult for them to get the same level of profit as the investors with enough money. Security investment funds happen to meet their demands.Security investment funds can not only bring together the social idle fun,but also employ professional team to manage the funds.They adopt the way of portfolio to reduce risk to get higher profit.The investing demand of small and medium investors stimulate the development of security investment fundsThe persistence analysis of security investment funds is to study whether the used performance of security funds have effect on the future performance or not. This paper choose17open-end funds which were listed before2002as sample and focus on analysising the persistent performance of funds in3months,6months,1year,2years,3years,5years and the whole sample.First, this paper chooses the Sharpe ratio and the weekly rate return as the evaluation index and adopts the contingency table method to analysis the persistence performance of mutual funds. The result shows that the persistent performance of Sharp ratio is better than the persistent performance of the weekly rate return. With the extension of the sample testing periods, the performance persistence became weaker and weaker.Second,adoping kendall’s concordance coefficient and selecting the rank of Sharpe ratio and the rank of weekly rate return as the evaluation index to analysis the persistence performance of mutual funds, the study found that the rank of yield return was not stable.Third, choosing the rank of weekly rate return as the evaluation index,adopting Markov process to analysis and predict the persistence performance of open-end funds’in the future.The result found that the samples we choose had no performance persistence and the rank of funds are not stable.Then,the result of Markov process in the state of long-term stability also shows the futue rank of the funds.