PT  - JOURNAL ARTICLE
AU  - Yeguang Chi
AU  - Yu Liu
AU  - Xiao Qiao
TI  - Performance Evaluation, Factor Models, and Portfolio Strategies: Evidence from Chinese Mutual Funds
AID  - 10.3905/jpm.2022.1.389
DP  - 2022 Jul 31
TA  - The Journal of Portfolio Management
PG  - 159--176
VI  - 48
IP  - 8
4099  - https://pm-research.com/content/48/8/159.short
4100  - https://pm-research.com/content/48/8/159.full
AB  - 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.