The Persistence Of China’s Monetary Fund Performance

The persistence of mutual fund performance means that mutual fund manager can achieve the same performance over time, those funds that perform well in the past will also perform well in the future and those funds that have bad performance record in the past will also have bad performance in the future. Domestic and foreign scholars have done a lot of research on the persistence of mutual fund performance. They find that the method used to doing persistence research, the length of sample period, the size of the sample and the choosing of performance measures can affect the persistence research results. This paper is aimed at making empirical testing and analysis on performance persistence of China’s money market fund. In this paper, I choose Direct Yield, Sharpe Ratio, Treynor Ratio and Jensen Ratio as performance measures; choose Cross-Sectional Regression, Spearman Rank Correlation Coefficient and Kendall’s Coefficient of Concordance as the methods to study the persistence of mutual fund performance and choose52monetary funds which were found before January2009as the sample of this research. Main conclusions are as follows. The performance of monetary fund has persistence. The performance persistence of monetary fund will be stronger as the text time is extended. Type A in monetary fund is more persistence than Type B in monetary fund. The performance measure is not sensitivity to the methods to study the persistence of mutual fund performance.The whole passage is divided into six chapters. The zero chapter includes foreword of this paper and relative literature review. The first chapter is the theoretical basis of the research in this paper-Efficient market hypothesis and economic significance of the persistence of mutual fund performance, this chapter also has introduced the characteristic and classification of monetary fund. The second chapter has introduced the history of mutual fund and the development of mutual found in China. The third chapter has introduced three kinds of performance measures, three kind of methods to study the persistence of mutual fund performance and the data of sample which will be used in the empirical testing. The fourth chapter is the core part of this paper, includes empirical testing and analysis. The fifth chapter is the conclusion, advice and further research.