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Performance and Persistence in Performance of Actively Managed Chinese Equity Funds

Author

Listed:
  • Zia-ur-Rehman Rao

    (University of Engineering and Technology)

  • Tanveer Ahsan

    (Rennes School of Business)

  • Muhammad Zubair Tauni

    (Zhejiang Gongshang University)

  • Muhammad Umar

    (Air University)

Abstract

The aim of this study is to analyze performance of mutual funds of biggest emerging economy i.e. China. Examining Chinese mutual funds’ performance provides an opportunity to assess the ability of fund managers to outperform the benchmark market. We study the equity mutual funds of China by taking the sample of 707 funds for the period from 2004 to 2015 and evaluate their performance using Capital Asset Pricing Model, Fama–French three factor model and Carhart four factor model. It is found that mutual funds in China give better return than the benchmark market return which means that active management pays better than passive management in mutual fund industry. Moreover, this study also investigates the existence of persistence in the performance of mutual funds and findings indicate that mutual funds in China are not consistent in their performance. Winner (Top-Performing) funds of last year do not continue to be winner funds in the following year and loser funds of previous year give better return in the following year. Overall findings indicate the non-existence of persistence in the performance of Chinese mutual funds.

Suggested Citation

  • Zia-ur-Rehman Rao & Tanveer Ahsan & Muhammad Zubair Tauni & Muhammad Umar, 2018. "Performance and Persistence in Performance of Actively Managed Chinese Equity Funds," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(3), pages 727-747, September.
    • Handle: RePEc:spr:jqecon:v:16:y:2018:i:3:d:10.1007_s40953-017-0104-5
    DOI: 10.1007/s40953-017-0104-5
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    2. Dachen Sheng & Heather A. Montgomery, 2024. "Assessing Mutual Fund Performance in China: A Sector Weight-Based Approach," Mathematics, MDPI, vol. 12(16), pages 1-21, August.

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    More about this item

    Keywords

    Emerging market; Mutual funds; China; Performance; Persistence;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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