Testing Persistence in Chinese Public Fund Performance with Factor Alpha

Summary

This report summary examines whether Chinese public mutual funds’ past risk-adjusted performance predicts future performance, with fund selection and fund-of-funds investing as the motivation. It evaluates managers using alpha from several asset-pricing models, including the Fama five-factor model and a version that adds Carhart’s momentum factor, rather than relying only on raw returns or the Sharpe ratio.

To limit survivorship effects and manager turnover, the study focuses on funds whose managers remain unchanged across consecutive years and regresses next-year alpha on prior-year alpha. It reports a positive persistence relationship since 2010 across both Fama–MacBeth and pooled regressions, with bootstrap analysis offered as a robustness check. The summary also reports differences across fund characteristics: persistence is strongest for some size and concentration groups, while the highest-Sharpe group tends toward reversal. The supplied text is only an abstract-level summary; it does not include sample details, model specifications, full tables, or enough information to independently assess the results’ scope.

Key ideas

• The report uses factor-model alpha to assess fund managers’ performance beyond raw returns and Sharpe ratios.
• It tests whether a fund’s annual alpha predicts its alpha in the following year while restricting the sample to unchanged managers.
• The summary reports persistent performance since 2010 across two regression approaches and a bootstrap robustness analysis.
• Reported persistence varies with fund size, investment concentration, trading measures, and risk-adjusted returns.
• The available summary omits the full methodology and data, limiting independent evaluation of the findings.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.