Study On The Performance Persistence Of Stock-style Open-ended Funds-based On Panel Data

Performance persistence refers to the funds which performed well in the past still perform well in the future. If we can prove the existence of consistency, so we can make profit through the analysis of the earnings of the past.We take the Jensen index after risk adjustment as the measure of fund performance. We established a panel data model including34samples to analysis the persistence of open-ended Stock Fundwhich were found before January2004between January2004and December2013.We found that in recent10years, the open-ended Stock Fund in China can get a generally positive excess return, but the persistence of getting excess returns in the is statistically insignificant.Although the overall situation is like that, the funds perform differently from each other, some funds showed significant positive and reverse persistence. In order to analysis whether the performance of this continuity is consistent with the overall situation or not under different macroeconomic background, we choose two sample periods which respectively representing a bull market and bear market.By establishing the model can we find it tends to exist positive persistent in a bull market and exist reverse persistence in a bear market. But the persistence of the two kinds of situation was not significant. This conclusion also can account for that the fund market in China is gradually perfecting.