The Empirical Research Of Performance Persistence Of Chinese Monetary Fund

Performance persistence of money market investment fund(short for"MMF")can be defined that the fund which its performance was outstanding in the last period continues to maintain outstanding performance in the next period, and the fund of poor performance continued poor performance.If the fund's performance is sustainability, investors are concerned that they can gain benefits by buying pre-outstanding performance fund, and selling pre-poor performance fund. Performance persistence of MMF, which origins in the breakdowns of performance, has become a main index for evaluating investment performance of mutual funds.In recent years, Chinese MMF as a new investment tool in the money market is becoming more and more popular with investors, and a discussion about the yield on the MMF is very intense. Someone thinks that the yield on the MMF is stable, known as "quasi-deposit"; But at the same time, someone thinks that the existence of the relations of "agent" and the trends of market-oriented interest rate, which will definitely have an impact on earnings. Therefore, this paper checks that the persistence of fund performance by parametric and non - parametric method, which can provide some references of investment for both investors and mutual fund managers.The results show that, the overall performance of Chinese MMF do not exist absolute persistence by parametric test. And we can see that the performance of the funds which appeared before 2005 show out good continuing performance. The others show out week continuing performance. From the non - parametric test, single fund's result is similar with the parametric test, fund performance overall has relatively persistence, that is to say, if the investor chooses the right fund, theoretically, it will obtain excess income.