The Empirical Study On The Performance Persistence Of Actively Managed Funds In China

Since China' s first open-ended fund-Huaan Innovation was born in September 2001,China's Open-end funds have been developing for almost 17 years.In addition,actively managed funds account for a significant proportion of funds in all funds as they try to achieve performance gains beyond the benchmark portfolio,which has become the subject of this study.The persistence of fund performance means that the funds in the previous period with good performance will continue to perform well in the next period,and the fund with poor performance in the previous period will still perform poorly in the next period,which is often referred to as "the strong is always strong,The weak is always weak." The research on the persistence of fund performance not only has a certain theoretical significance to the development of the fund industry,but also can provide certain guiding significance to both investors and fund managers.Based on previous research,we conducted empirical research of the persistence of fund performance on the data of 410 actively managed funds over the past five years from the macro level and the micro level respectively.At the macro level,we mainly used the classic contingency table method to study the persistence of fund performance from the overall level of the fund industry.firstly,we divided the study time interval into Three types:short-term,medium-term,and long-term and used the x 2 test,the cross-product test,and the Z test to study the contingency table data,secondly,we added a three-factor model to adjust the fund's rate of return.Finally,the conclusions obtained from the Fama-French three-factor model are compared with those obtained without risk-adjusted rates of return.At the micro level,we mainly used the statistical method of scanning statistics to study the persistence of individual funds.On the one hand,we used the weekly rate of return and the monthly rate of return data respectively to conduct research.On the other hand,by introducing the concept of longest chain and scanning statistics,we can contain the concept of the strength of the persistence of a single fund's performance.In addition,We also added one,two,and three discontinuities to the longest-chain model of fund performance,which relaxed the conditions for the persistence of the fund.From the macro level,the empirical results show that when we use the risk-adjusted rate of return to test the persistence of fund,Only short-term(Both the sorting peri-od and the evaluation period are six months)fund performance has a certain degree of continuity,neither mid-term(The sorting period is one year or two years and the evaluation period is one year)nor long-term(Both the sorting period and the evalua-tion period are two years or the sorting period is three years,The evaluation period is one year)fund performance is persistent.while,When we use risk-adjusted rate of return to test the persistence of fund,The short-term,medium-term,and long-term fund performance all have a certain degree of continuity,but the persistence intensi-ty satisfies:mid-term>short-term>long-term.Investors can focus on short-term and mid-term performance when investing.From the micro level,the performance of a single fund has a certain degree of continuity.The persistence rate of the monthly returns of a single fund generally not exceed 0.65,and the continuous strength of the weekly rate of return generally not exceed 0.7,So the weekly yield strength is higher than the monthly yield strength.The empirical results also show that the sustained degree of the fund's losing performance is stronger than the sustained strength of the winning performance.Therefore,when we choose funds to invest,it is better to focus on the degree of accumulation of fund wins or losses.