Do active Chinese equity fund managers produce positive alpha? A comprehensive performance evaluation

This paper evaluates the performance of mutual funds in China with the bootstrap-based false discovery rate (FDR) method based on a battery of factor models. We find robust evidence of a significantly higher proportion of skilled funds in China (19.25 percent) than is found for developed countries in the existing literature. We also examine the heterogeneity across sub-samples of different fund styles and find positive alphas for 27 percent of growth funds, 14.56 percent for balance-oriented funds and 11.6 percent for value-oriented funds. We complement the FDR accuracy assessment literature by validating the applicability of the FDR method through elaborate simulations.

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Publication Details

Journal
Journal of International Financial Markets Institutions and Money
Published
2026-03-11
DOI
https://doi.org/10.1016/j.intfin.2026.102312
Primary Topic
Financial Markets and Investment Strategies
Type
article
Field-Weighted Citation Impact
0.00

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article

Do active Chinese equity fund managers produce positive alpha? A comprehensive performance evaluation

Keith Pilbeam, Tingting Cheng, Cheng Yan, Shuo Xing
Journal of International Financial Markets Institutions and Money
Financial Markets and Investment Strategies
article

Do active Chinese equity fund managers produce positive alpha? A comprehensive performance evaluation

Keith Pilbeam, Tingting Cheng, Cheng Yan, Shuo Xing
article en

Abstract

This paper evaluates the performance of mutual funds in China with the bootstrap-based false discovery rate (FDR) method based on a battery of factor models. We find robust evidence of a significantly higher proportion of skilled funds in China (19.25 percent) than is found for developed countries in the existing literature. We also examine the heterogeneity across sub-samples of different fund styles and find positive alphas for 27 percent of growth funds, 14.56 percent for balance-oriented funds and 11.6 percent for value-oriented funds. We complement the FDR accuracy assessment literature by validating the applicability of the FDR method through elaborate simulations.

Journal of International Financial Markets Institutions and MoneyVol. 109
National Natural Science Foundation of China, Nankai University, Fundamental Research Funds for the Central Universities
Openalex Percentile: Top 27%
Financial Markets and Investment Strategies
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