Advances in Economics, Management and Political Sciences
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Proceedings of the 2023 International Conference on Management Research and Economic Development
Series Vol. 18 , 13 September 2023
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Performance Evaluation of Chinese Stock Mutual Funds
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Abstract
Based on a data from January 2003 to July 2020, I compare market index with mutual funds in Chinese stock market. First, I compare the cumulative return of market with that of mutual funds. Mutual funds have obvious advantages. Next, I compare their volatilities, Sharpe ratios, Sortino ratios, and maximum drawdowns. Based on these performance proxies, Chinese stock mutual funds still outperform the market index. Finally, I research the persistence of fund performance. Mutual funds with better performance in the past year tend to have higher returns in the next month.
Keywords
stock market, mutual funds, institutional investors, emerging markets
References
1. Fama, E. F., and French, K. R. 1993. Common risk factors in the returns on stocks and Bonds. Journal of Financial Economics, 33(1993), 3–56.
2. Carhart, Mark M. 1997. On Persistence in Mutual Fund Performance. THE JOURNAL OF FINANCE . VOL. LII, NO. 1 . MARCH 1997 .
3. Rollinger Thomas N., and Scott T. Hoffman. Sortino: A ‘Sharper’ Ratio.
4. Chen, Qinhua, and Yeguang Chi, 2018, Smart Beta, Smart Money. Journal of Empirical Finance 49, 19-38.
5. Chi, Yeguang and Xiao Qiao, 2022, Mutual Fund Investing in the Chinese A-share Market, Handbook of Bannking and Finance in Emerging Markets, ISBN: 9781800880894.
Data Availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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- Volume Title
- Proceedings of the 2023 International Conference on Management Research and Economic Development
- ISBN (Print)
- 978-1-915371-79-9
- ISBN (Online)
- 978-1-915371-80-5
- Published Date
- 13 September 2023
- Series
- Advances in Economics, Management and Political Sciences
- ISSN (Print)
- 2754-1169
- ISSN (Online)
- 2754-1177
- DOI
- 10.54254/2754-1169/18/20230066
- Copyright
- 13 September 2023
- Open Access
- This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited