--Do you mean by filing tax return in HK, the fund manager can avoid the much higher US tax?
If the fund manager is a US citizen or PR, he can't avoid the US tax by filing tax return in HK
--Do I still need to file state tax if I live out of US?
I guess that will depend on whether you're going to maintain a US address or not. Differrent states actually have different rules.
--Or if I have to, can I select the states without state tax as my residence?
Yes.
--By the way, can I apply US loan to buy a Chinese house?
You can get mortgage from foreign banks for your houses in China. But you don't need to borrow from a US bank to benefit from the tax deduction on your mortgage interest.
