Abstract
Based on a data from January 2003 to July 2020, I compare market index with mutual funds in Chinese stock market. First, I compare the cumulative return of market with that of mutual funds. Mutual funds have obvious advantages. Next, I compare their volatilities, Sharpe ratios, Sortino ratios, and maximum drawdowns. Based on these performance proxies, Chinese stock mutual funds still outperform the market index. Finally, I research the persistence of fund performance. Mutual funds with better performance in the past year tend to have higher returns in the next month.
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