Risk and Style Characteristics of Chinese Funds, March 2010
David T. Owyong
March 18, 2010
MSCI Barra Research Paper No. 2010-10
This paper examines the holdings data of various active funds in China to analyze their risk and style characteristics over the last five years. We show that fund managers were quick to increase their equity exposure at the beginning of the bull market, and they started to cut their equity exposure before the 2007-2008 bear market arrived. In terms of style, we find that funds had tilts toward momentum and small caps, but away from value.
Number of Pages in PDF File: 10
Keywords: Risk Style Characteristics of Chinese Funds, holdings, data, various active funds, China risk fund, managers, equity, exposure, bull, bear, marketworking papers series
Date posted: May 7, 2010
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