Corpus ID: 215745474

Holding-Based Evaluation upon Actively Managed Stock Mutual Funds in China

  title={Holding-Based Evaluation upon Actively Managed Stock Mutual Funds in China},
  author={Huimin Peng},
  journal={arXiv: Portfolio Management},
  • Huimin Peng
  • Published 2020
  • Economics, Business
  • arXiv: Portfolio Management
We analyze actively managed mutual funds in China from 2005 to 2017. We develop performance measures for asset allocation and selection. We find that stock selection ability from holding-based model is positively correlated with selection ability estimated from Fama-French three-factor model, which is price-based regression model. We also find that industry allocation from holding-based model is positively correlated with timing ability estimated from price-based Treynor-Mazuy model most of the… Expand


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