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Can Winners Keep Winning? An Analysis Of Performance Persistence Of Mutual Funds And Hedge Funds In China

Author

Listed:
  • LIANGBO ZHAI

    (School of Economics, Zhejiang University, Hangzhou, P. R. China)

  • WEI WANG

    (School of Economics, Zhejiang University, Hangzhou, P. R. China)

Abstract

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.

Suggested Citation

  • Liangbo Zhai & Wei Wang, 2023. "Can Winners Keep Winning? An Analysis Of Performance Persistence Of Mutual Funds And Hedge Funds In China," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 68(06), pages 2029-2050, December.
    • Handle: RePEc:wsi:serxxx:v:68:y:2023:i:06:n:s0217590820500642
    DOI: 10.1142/S0217590820500642
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    Keywords

    Performance persistence; mutual funds; hedge funds;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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