Performance persistence in institutional investment management: The case of Chinese equity funds

Rao, Zia-ur-Rehman; Iqbal, Amjad; Tauni, Muhammad Zubair

doi:10.1016/j.bir.2016.05.002

Cited by 7 publications

(3 citation statements)

References 54 publications

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“…Second, mutual funds in the U.S.A are corporate entities with a specific board of directors (or trustees) overseeing each fund. In contrast, mutual funds in China are not corporate entities but contract funds, implying fewer voting rights are provided to investors (Rao et al, 2016).…”

Section: Characteristics Of Mutual Fundsmentioning

confidence: 99%

“…Distinctly management fees in China's mutual funds are fixed at 1.5% of total assets under management since 2002. Subsequently, management fees do not reveal much about the mutual funds' performance in China (Rao et al, 2016).…”

Section: Characteristics Of Mutual Fundsmentioning

confidence: 99%

“…Sixth, compared to the U.S. SEC, the CSRC has more power to regulate the mutual funds industry, including approving the establishment of fund management companies and electing senior managers of fund management companies (Rao et al, 2016). 2 1 In the direct channel, investors carry out transactions directly with mutual funds.…”

Section: Characteristics Of Mutual Fundsmentioning

confidence: 99%

See 2 more Smart Citations

Does mutual fund investment influence accounting fraud?

Wang

Ashton

Jaafar

2019

Emerging Markets Review

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Section: Characteristics Of Mutual Fundsmentioning

confidence: 99%

Section: Characteristics Of Mutual Fundsmentioning

confidence: 99%

Section: Characteristics Of Mutual Fundsmentioning

confidence: 99%

See 1 more Smart Citation

Does mutual fund investment influence accounting fraud?

Wang

Ashton

Jaafar

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Emerging Markets Review

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Do mutual funds have consistency in their performance?

et al. 2019

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Using a comprehensive data set of 714 Chinese mutual funds from 2004 to 2015, the study investigates these funds' performance persistence by using the Capital Asset Pricing model, the Fama-French three-factor model and the Carhart Four-factor model. For persistence analysis, we categorize mutual funds into eight octiles based on their one year lagged performance and then observe their performance for the subsequent 12 months. We also apply Cross-Product Ratio technique to assess the performance persistence in these Chinese funds. The study finds no significant evidence of persistence in the performance of the mutual funds. Winner (loser) funds do not continue to be winner (loser) funds in the subsequent time period. These findings suggest that future performance of funds cannot be predicted based on their past performance.

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Can Winners Keep Winning? An Analysis of Performance Persistence of Mutual Funds and Hedge Funds in China

Zhai

Wang

2020

Singapore Econ. Rev.

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This paper investigates the performance persistence of both mutual funds and hedge funds using China’s data covering the period from January 2010 to December 2019. We first use a nonparametric method to examine the performance persistence with net return and Sharpe ratio over monthly, quarterly, semiannual, and annual intervals. We first find evidence that performance persistence exists in some years for both mutual funds and hedge funds. Then we construct portfolios based on lagged one-year returns and estimate their performance. We find top-performing portfolios of hedge funds that can get significantly positive alpha while no portfolio of mutual funds can get positive alpha.

show abstract

Performance persistence in institutional investment management: The case of Chinese equity funds

Cited by 7 publications

References 54 publications

Does mutual fund investment influence accounting fraud?

Does mutual fund investment influence accounting fraud?

Do mutual funds have consistency in their performance?

Can Winners Keep Winning? An Analysis of Performance Persistence of Mutual Funds and Hedge Funds in China

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