Abstract
This paper examined the performance of the Chinese Mutual funds using the Sharpe ratio, Sortino ration and the 4-factor Fama and French model to assess the price of the mutual funds. A sample of 221 months was used (January 2003-July 2020). The results showed the MOM had the highest return with relatively lower volatility. The mutual funds; however, were found to have a lower Sharpe, and Sortino ratios an indication that they are less attractive. The 4-factor model show statistically significant coefficients, an indication that the additional three factors in the CAPM model contributes to the exploration of the asset prices.
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