@article {Chi159, author = {Yeguang Chi and Yu Liu and Xiao Qiao}, title = {Performance Evaluation, Factor Models, and Portfolio Strategies: Evidence from Chinese Mutual Funds}, volume = {48}, number = {8}, pages = {159--176}, year = {2022}, doi = {10.3905/jpm.2022.1.389}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Actively managed stock mutual funds in the Chinese A-share market offer good investment opportunities. In aggregate, they outperform stock market indexes. Individual funds show a wide cross-sectional dispersion in performance, with the best funds offering economically large risk-adjusted returns that persist over time. Performance persistence observed at the individual fund level is robust to various factor-model specifications. A portfolio of the top-performing funds offers an improved investment opportunity compared with a portfolio of all funds. Hedging out market risk in this portfolio increases the Sharpe ratio, lowers volatility, and reduces tail risk. These results suggest that, in the young and still-developing Chinese A-share market, mutual funds can add value for investors.}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/48/8/159}, eprint = {https://jpm.pm-research.com/content/48/8/159.full.pdf}, journal = {The Journal of Portfolio Management} }