The Performance of Chinese Open End Stock Mutual Funds: A First Look

We provide a first look at the performance of Chinese open-end mutual funds from 2001 to 2008 using data from a high quality mutual fund database provided by the GTA Information Technology Co., Ltd. From daily return data, we find that some Chinese open-end mutual funds can provide statistically significant risk-adjusted abnormal returns and demonstrate market timing ability in various models. Furthermore, after controlling for management fee, fund growth rate, fund age and investment strategies, larger funds shows better market timing ability in a full market cycle that we examined. This result is also robust in the bull market and the bear market sub-periods.