Market Timing and Mutual Fund Investment Performance

1984 ◽  
Vol 57 (1) ◽  
pp. 57 ◽  
Author(s):  
Eric C. Chang ◽  
Wilbur G. Lewellen
Keyword(s):  
Mutual Fund ◽  
Market Timing ◽  
Investment Performance ◽  
Fund Investment

scholarly journals KOMPARASI REKSADANA SAHAM PERUSAHAAN INVESTASI NASIONAL DAN ASING DI INDONESIA DILIHAT DARI KINERJA, MARKET TIMING DAN STOCK SELECTION

2018 ◽  
pp. 649
Author(s):  
Anak agung ayu Putri Utami ◽  
Luh Gede Sri Artini
Keyword(s):  
Mutual Fund ◽  
Financial Services ◽  
Market Timing ◽  
Stock Selection ◽  
Foreign Companies ◽  
Significant Difference ◽  
The Difference ◽  
Fund Investment ◽  
National Investment ◽  
Better Than

The purpose of this research is to know the significance of the difference between a mutual fund company’s stock of foreign and national investment in Indonesia viewed from performance,to find out which is better between mutual fund investment company national and foreign views of market timing and stock selection.The population of this research is the mutual fund shares that are listed on the website of the financial services authority-performance outperform during periods of 2014-2016. The selection of the samples was done objectively based on investment companies. Assessment of the performance of mutual fund shares using the Sharpe Index while market timing and stock selection using Treynor Mazuy. The method used is the technique of data analysis in the form of two different test averages with the help of IBM SPSS program.The results showed that there was no significant difference between the mutual fund company’s stock of foreign and national investment in Indonesia viewed from the performance by using Sharpe Index, market timing stock mutual fund national invesment better than market timing foreign companies and stock selection mutual fund national invesment better than stock selection foreign companies.

Mutual fund investment performance

1996 ◽  
Vol 36 (3) ◽  
pp. 347-363 ◽  
Author(s):  
William G. Droms ◽  
David A. Walker
Keyword(s):  
Mutual Fund ◽  
Investment Performance ◽  
Fund Investment

Multi-Index Conditional Investment Performance Measure: An Empirical Analysis

2016 ◽  
Vol 6 (3) ◽  
Author(s):  
Subrata Roy
Keyword(s):  
Empirical Analysis ◽  
Mutual Fund ◽  
Public Information ◽  
Fund Performance ◽  
Performance Measure ◽  
Mutual Fund Performance ◽  
Investment Performance ◽  
Multi Index ◽  
Time Lagged ◽  
Index Measure

The present study seeks to examine the mutual fund performance of the open-ended selected equity schemes of UTI based on multi-index measures as well as conditional multi-index measure. It is observed from the analysis that multi-index measure is able to capture the beta and alpha effects on market adjusted basis and the estimated coefficients is a better representative as compared to the single index measure. When time lagged (lagged at 1 month, 2 months, quarterly and yearly) multi-index measures are applied then the estimated coefficients (alpha & beta) which are market adjusted and time adjusted look more representative than the multi-index measure (without lagged effect). Finally, when we extended the time lagged multi-index measure on a conditional way (conditional on public information variables) then we observe that conditional multi-index lagged measure provides much more representative results in all respects as compared to the all measures after conditioning public information effects.

scholarly journals DETERMINANTS INFLUENCING PENSION FUND INVESTMENT PERFORMANCE IN KENYA

2018 ◽  
Vol 3 (1) ◽  
pp. 14
Author(s):  
Anthony Kyanesa Mutula ◽  
Dr. Assumptah Kagiri
Keyword(s):  
Pension Fund ◽  
Multiple Linear Regression Model ◽  
Target Population ◽  
Pension Funds ◽  
Primary Data ◽  
Investment Strategies ◽  
Investment Performance ◽  
Descriptive Research ◽  
Fund Investment ◽  
Regulation Compliance

Purpose: The purpose of the study was to investigate the determinants influencing pension fund investment performance in Kenya.Methodology: The study employed a descriptive research design. The study target population was all the 33 registered pension funds in Kenya, and the sample size was 66 senior employees involved in decision making. The study adopted a census approach and therefore data was collected from all the 33 registered pension funds. A questionnaire was used to collect primary data from the selected respondents. The data collected was analyzed using the statistical package for social sciences (SPSS) version 23.0. The software was used to produce frequencies, descriptive and inferential statistics which was used to derive generalizations and conclusions regarding the population. Multiple linear regression model was used to measure the relationship between the independent variables and the dependent variable. The study findings were presented using figures and tables.Results: The study findings revealed a positive and significant relationship between diversification decisions, management competency, investment strategies, regulation compliance and investment performance of pension funds in Kenya.Unique contribution to theory, practice and policy: The study recommended that the management of pension funds should establish a strong organization structure and policy implementation, which will enhance their portfolio composition; the firms should have highly competent management; should incorporate investment literacy and capability programs in their organizations; and should continue adhering to the set regulations.

scholarly journals MANAGERIAL ABILITIES AND FACTOR INVESTMENT STYLE PERFORMANCES OF MALAYSIAN MUTUAL FUND MANAGERS

2021 ◽  
Vol 6 (1) ◽  
pp. 118-135
Author(s):  
Pick-Soon Ling ◽  
Ruzita Abdul-Rahim
Keyword(s):  
Mutual Funds ◽  
Portfolio Management ◽  
Mutual Fund ◽  
Market Timing ◽  
Stock Selection ◽  
Investment Style ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Timing Ability ◽  
Stock Picking

Background and Purpose: Studies focusing on mutual fund managerial abilities and investment style strategies are still scarce in the literature. Thus, this study aims to provide new evidence and insights into the managerial abilities and investment style performances of Malaysian fund managers.   Methodology: A total of 444 Malaysian equity mutual funds (EMFs) were evaluated using Carhart’s model incorporated with Treynor-Mazuy (T-M) and Henriksson-Merton (H-M) market timing models for the study period, from January 1995 to December 2017.   Findings: Fund managers displayed superior stock selection skills with 32 percent and 43 percent of funds for T-M and H-M respectively, with perverse market timing ability which accounted for 39 percent and 42 percent of funds for T-M and H-M respectively. Perverse timing ability had reduced the superior stock-picking skills of fund managers. This suggests that the EMFs performance could further improve if respective fund managers perform better in market timing ability. The finding also indicates that size effect (SMB) and value effect (HML) play significant roles in investment style strategies, while results of momentum factor (WML) propose that Malaysian fund managers have followed the contrarian strategy.   Contributions: This study contributes in several ways especially in the literature of portfolio management as the evidence is obtained from the largest mutual funds sample size and the longest study period. Moreover, this study also used the highest frequency data to study the effects of market timing which were overlooked in previous studies.   Keywords: Adjusted carhart, Malaysian market, market timing, mutual fund, stock selection.   Cite as: Ling, P-S., & Abdul-Rahim, R. (2021). Managerial abilities and factor investment style performances of Malaysian mutual funds.  Journal of Nusantara Studies, 6(1), 118-135. http://dx.doi.org/10.24200/jonus.vol6iss1pp118-135

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