Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings

2008 ◽  
Author(s):  
Jing-Zhi Huang ◽  
Ying Wang
Keyword(s):  
Government Bond ◽  
Fund Managers ◽  
Portfolio Holdings ◽  
Timing Ability ◽  
Bond Fund

scholarly journals Do the Israeli Provident Funds have the Ability to Time the Bond and Stock Markets? An Analysis across Alternative Investments

2017 ◽  
Vol 6 (2) ◽  
pp. 169
Author(s):  
Ofer Arbaa ◽  
Eva Varon
Keyword(s):  
Asset Allocation ◽  
Mutual Fund ◽  
Market Timing ◽  
Future Market ◽  
Fund Managers ◽  
Portfolio Holdings ◽  
Early Return ◽  
Timing Ability ◽  
Asset Class ◽  
Timing Decisions

This paper investigates whether Israeli fund managers possess market-timing ability across asset classes over time, using 15 years of monthly data from the Israeli provident funds.  We apply three methodologies based on return based and portfolio holdings approaches. Most of the early return-based timing methods and the most recent portfolio holdings measures suggest that U.S. mutual fund managers do not possess equity timing ability. Our study is the first to test this evidence on multi- asset class provident funds in the Israeli market and compare the timing ability of fund managers in each asset class according to different approaches. We introduce an alternative holdings method that combine the asset allocation theory with that of market timing and use "excess policy" holdings data to predict future market returns.  In addition, previous studies mostly ignore the contribution of other instruments to timing decisions, which may cause any conclusions about managers' timing decisions to be incomplete. Hence, we test equity market timing with respect to all markets using a multiple market index model in the holdings approach. In line with previous research, our empirical results indicate significantly negative market timing in domestic equities according to all the measures used. On the other hand, provident fund managers on average seem to display some timing ability for government bonds.

Geography and Local (Dis)advantage: Evidence from Muni Bond Funds

2016 ◽  
Vol 06 (03) ◽  
pp. 1650008 ◽  
Author(s):  
Saiying Deng ◽  
David Rakowski
Keyword(s):  
Mutual Fund ◽  
Knowledge Spillovers ◽  
Geographic Location ◽  
Municipal Bond ◽  
Fund Managers ◽  
Non Local ◽  
Bond Fund ◽  
Business Connections ◽  
Bond Mutual Funds ◽  
The Relationship

We examine the relationship between the geographic location of mutual fund managers and fund performance using the unique setting of single-state municipal-bond mutual funds. We find that local managers underperform non-local muni-bond fund managers. Furthermore, we document that local muni-bond fund managers perform relatively better in states with more local funds, consistent with knowledge spillovers, business connections and networking effects associated with those areas. Locals also perform relatively better in states with higher levels of political integrity, consistent with less political pressure on local fund managers in these locations. Our results are robust to several sensitivity checks.

Timing is Money: The Factor Timing Ability of Hedge Fund Managers

2016 ◽  
Author(s):  
Bart Osinga ◽  
Marc Schauten ◽  
Remco C. J. Zwinkels
Keyword(s):  
Hedge Fund ◽  
Fund Managers ◽  
Timing Ability

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

scholarly journals SELECTIVITY AND MARKET TIMING ABILITY OF MUTUAL FUND HOUSES IN EMERGING COUNTRIES

2021 ◽  
Vol 16 (Number 1) ◽  
pp. 21-42
Author(s):  
Anas Ahmad Bani Atta ◽  
Ainulashikin Marzuki
Keyword(s):  
Mutual Fund ◽  
Market Research ◽  
Market Timing ◽  
Emerging Countries ◽  
Investment Opportunity ◽  
Fund Managers ◽  
Management Processes ◽  
Timing Ability ◽  
Different Types ◽  
The Common

The paper investigates the selectivity and market timing ability of fund houses in emerging countries. The study uses comprehensive performance models on fund houses from four emerging countries. Data span is from 2007 to 2018. Findings indicate that fund managers benefit from the common facilities provided by the fund houses like market research, diversification and investment opportunity. Fund houses showed good selectivity skills but poor market timing ability. The possible reason is that fund houses manage large and different types of funds. This resulted in more complex management processes and thus reduced the ability to track the fluctuations in the market. The findings are important for investors as they are able to allocate their resources more effectively to funds that are best managed by fund houses while for managers, they are able to position themselves relative to their competing peers.

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