Do active Chinese equity fund managers produce positive alpha? A comprehensive performance evaluation
Chen, T., Xing, S., Yang, C. & Pilbeam, K. 
ORCID: 0000-0002-5609-8620 (2026).
Do active Chinese equity fund managers produce positive alpha? A comprehensive performance evaluation.
Journal of International Financial Markets, Institutions and Money, 109,
article number 102312.
doi: 10.1016/j.intfin.2026.102312
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.
| Publication Type: | Article |
|---|---|
| Additional Information: | © 2026 The Author(s). Published by Elsevier B.V. This is an open access article distributed under the terms of the Creative Commons CC-BY license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. |
| Publisher Keywords: | Mutual fund performance, Skill vs. luck, False discovery, Bootstrap, Simulation |
| Subjects: | H Social Sciences > HG Finance |
| Departments: | School of Policy & Global Affairs School of Policy & Global Affairs > Department of Economics |
| SWORD Depositor: |
Available under License Creative Commons Attribution.
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