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Study On Mutual Funds Performance Persistence In China

Posted on:2014-11-18Degree:MasterType:Thesis
Country:ChinaCandidate:Y J ZhouFull Text:PDF
GTID:2309330434473042Subject:DDIM
Abstract/Summary:PDF Full Text Request
This paper studies performance persistence of mutual fund in Chinese market. At first, I gave out a brief introduction of Chinese mutual fund market and related literatures on this topic. Then, I employed two methods, contingency table and cross-sectional regression, to test the performance persistence of stock funds, bond funds and close-end funds separately from2005to2011. When I set the time interval as one-year horizon and using raw return as a metric, there exhibits significant return reversal in stock funds, mixed persistence and reversal in bond funds, and no significant relationship in close-end funds. For Jensen’s alpha, all exhibit a little degree of performance persistence in most of the years but the result is not significant. If I set the time interval as six-month horizon, the result becomes nosier; performance fluctuated over the whole period.But investors can still achieve abnormal returns through pursuing mutual funds managed by star managers, who have longer working experiences and a successful historical record. Investor should avoid investing in funds managed by managers who continually perform poor in the market. Management fee is not an indicator of good or bad performance for index funds, but it has a minor positive relationship with the performance of bond funds. According to foreign literature, stock market momentum anomalies and fund sizes are potential influencing factors in mutual fund performance persistence; the impact needs to be further studied on Chinese mutual fund market.Besides, there are still some questions about this topic need to be further studied in the future.
Keywords/Search Tags:performance persistence, contingency table, cross-sectionalregression, mutual fund
PDF Full Text Request
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