Performance Evaluation, Factor Models, and Portfolio Strategies: Evidence from Chinese Mutual Funds
研究发现中国A股主动管理型股票基金整体跑赢指数，优秀基金能持续获得经风险调整后的超额收益，基于绩优基金构建的投资组合能提升夏普比率、降低波动和尾部风险。
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.