Empirical Study On The Performance Persistence Of Private Securities Investment Fund In China

Private Securities Investment Fund had gradually came into the public view since the "Registration system" was released, and is appreciated by investors for its diversity and flexible operations. Especially when the bull market started, the number of Private Securities Investment Fund increased rapidly and its performance persistence had drawn great attention. Performance persistence refers to those perform excellent both in the past period and the next period, or those perform badly both in the past period and the next period. It’s of great importance to investors, fund managers and regulators. Based on performance persistence, investors shall choose well performed funds in the past. Fund managers can continue outstanding performance by building abilities that performance persistence needs. Regulators may develop regulatory in line with the development of the Private Securities Investment Fund.This paper reviews the methods taken to study performance persistence, and uses both contingency tables and portfolio approaches to study performance persistence. Annual data since 2003 and monthly data since 2014 are adapted to avoid "Survivorship bias" in the initial period. Contingency tables, which study different periods, find that performance persistence exists much often when the stock market continues to rise or continues to fall. While studying a continuous period, the portfolio approach finds that performance persistence existed before 2014, when the "Registration system" was released, and disappeared until May,2015.Benchmarks, Survivorship bias and momentum effect, along with size, costs, dividend and investment style were often used to explain performance persistence. This paper considers "market timing factor" and "momentum factor", and establishes a regression model to make attribution analysis. It finds that "market timing factor" was significant before 2014, and "momentum factor" was significant during Jan,2014 and May,2015. Stock selection was efficient before 2014 and accounted for performance persistence of Private Securities Investment Fund in China, while beta strategy and rising market was taking effect during Jan, 2014 and May,2015.