Risk and Style Characteristics of Chinese Funds

Journal of Investment Strategy, Vol. 5 No. 1, April 2010

Posted: 7 Nov 2012

See all articles by David T. Owyong

David T. Owyong

BOCI-Prudential Asset Management

Date Written: April 1, 2010

Abstract

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

Suggested Citation

Owyong, David T., Risk and Style Characteristics of Chinese Funds (April 1, 2010). Journal of Investment Strategy, Vol. 5 No. 1, April 2010, Available at SSRN: https://ssrn.com/abstract=2171557

David T. Owyong (Contact Author)

BOCI-Prudential Asset Management ( email )

27th Floor, Bank of China Tower
1 Garden Road
Hong Kong
Hong Kong

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