Study On The Performance Persistence And Determinants Of Sunshine Private Fund In China

Fund performance persistence refers to the funds which have past outstanding performance can continue to maintain the excellent performance in the future,the ones that have poor past performance will also continue to show poor performance.Sunshine private fund caters to the needs of high net worth investors and institutional investors because of its differences with public offering fund in the pursuit of absolute returns,the specific raising object and flexible operation mechanism.In recent years it occupies an increasingly important position in China's securities market.Therefore,it has great significance to judge the existence of the sunshine private fund performance persistence and to define its main influence factors,so as to provide valuable references for all the fund market participants.It also increasingly becomes a hot issue for scholars.In the continuous inspection of sunshine private fund performance,this paper selects a time period from January 2010 to December 2015 as the observation period,and collects 126 fund samples that were established before 2010 and have continuous performance,thus ensuring the timeliness of data and the time window contains a complete stock market quotation.Then,it uses cross-section regression method and contingency table as the test model and at the same time adopts Sharpe index and Jensen index as indicators of performance evaluation to constitute four kinds of analytical methods of the significance test of fund performance persistence.Results find that when using every six months as a test cycle,the fund performance persistence exists only in unilateral rising stock market quotation,and there exhibit performance reverse phenomenon during stock market decline period.The results of the four methods have a great difference and the overall sustainability of the results was not significant when using every year as a test cycle,which shows that the long-term persistence of its performance on the whole is not significant.In addition,the comparison of four methods' results finds that the test results are more stringent by using the Jensen index as the evaluation index.On the basis of performance persistence test results,this paper re-selects time window and the samples.Then it tests the overall fund performance persistence in this period to provide more rigorous samples for the follow-up study.Finally it selects 56 fund samples.After that,the paper extracts six possible determinants of the performance persistence as independent variables and uses multivariable linear regression model to test.In the process of empirical analysis,the variance inflation factor method is used to solve the problem of multicollinearity among the various factors.The result finds that the replacement of fund managers,fund scale and regional factors are significant factors influencing the performance persistence of sunshine private fund in China.Finally,according to the conclusions of this paper and the actual development of China's sunshine private fund,it makes relevant recommendations for the investors,fund management companies and regulatory agencies.so as to provide references for all the fund market participants in their the future management and investment decisions.At the end of this paper,it summarizes the whole thesis and proposes future research prospects.