Risk and Style Characteristics of Chinese Funds
Journal of Investment Strategy, Vol. 5 No. 1, April 2010
Posted: 7 Nov 2012
Date Written: April 1, 2010
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.
Keywords: risk and style characteristics, China Equity, fund managers
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