The Empirical Study On The Persistence Of Closed-end Funds Performance

As a main institutional investor, investment fund plays a more and more important role in the capital market. And with a character of earning&risk sharing, the investment fund is favorable for investors by its professional financial management and risk spreading. There are many fund agencies rating for the funds at home and abroad, which offers investors some investment basis. However, the studies of the funds'performance persistance vary greatly at home and abroad, which questioned our Fund rating agencies: Is there any value for the funds rating which based on the past performance? Our study is exactly an answer for the question, we choose all the data from January 2003 to August 2007 of 38 closed-end funds which still existed in June 2007, and we study the sustainability of the funds'Absolute performance and relative performance by month, quarter, half-year and year. Besides, we control the change of the fund manager, the scale of the fund and the management rates in the process of the study. At last, our study results show: there some influences on the persistance of half-year and year between considering the change of fund manger and without considering the change of fund manager; there are great influences on the persistance of quarter between controling single factor and controlling multi-factors. And among these factors, the scale of the fund has obviously negative influence. In the course of the study of the absolute performance and the relative performance, we find the absolute performance is influenced greatly by the market, which leads to unpersistance of the performance, but when we exclude the influence of the market, the relative performance of fund shows"persistanceâ†'unpersistanceâ†'persistance"as the periods are prolonged. And we can find there are good persistance in the month and year, which is formed by intensely"beyond"and"anti-beyond". Besides, the great differences between the performance persistance of absolute performance and relative performance also explain the reason why the study results before had so great differences.