Persistence in Mutual Fund Returns: Evidence from China
Roger Su, Ying Zhao, Ronghua Yi, Amitabh Dutta

Abstract
This paper aims to investigate the persistence of Chinese mutual funds performance. A simple approach developed by Dutta and Su (2008) – a direct annual examination of whether a fund beat the market proxy or not – has been used in this study. The sample consists of 42 mutual funds over the period from 2002 to 2009; the Weighted Chinese Shanghai and Shenzhen A-share stock market index has been developed as the benchmark. This study finds winners like to repeat their performance in negative market returns; while losers in really good years, on average, are more likely to repeat their performance. There is no evidence to show any long term persistence existing in Chinese mutual fund market during 2003 to 2009.

Full Text: PDF