Research On Performance Continuity of Mixed Funds Based on FF Five Factor Model

Abstract

In the Chinese market, many retail investors believe in the law of "the strong will always be strong and the weak will always be weak" when making fund investment for speculative purposes, and select stocks mainly based on the fund's previous performance data. Therefore, through the comparison of monthly returns, quarterly returns and annual returns of the fund, it is found that the performance continuity is more obvious at the monthly level. At the quarterly level, the fund as a whole appears reversal effect, momentum effect disappeared. In the semi-annual level, it is found that there are several reversals, the fund performance changes irregularly, only in a few groups there is a certain continuity, from the overall view of the fund performance there is no continuity. From the perspective of factors, the fund is greatly affected by CMA, while the explanatory ability of other factors gradually weakens with the extension of investment time, and the five factors only show significant explanatory ability in the short term.