scholarly journals Asset Allocation, Security Selection and Market Timing in Mutual Funds

2011 ◽  
Author(s):  
Bjarte Espedal
Keyword(s):  
Mutual Funds ◽  
Asset Allocation ◽  
Market Timing ◽  
Security Selection

scholarly journals KINERJA PENGELOLAAN DANA PADA PASAR MODAL INDONESIA

2008 ◽  
Vol 10 (4) ◽  
Author(s):  
Yuyun Istavirti ◽  
Dr. Andi M. Alfian Parewangi ◽  
Dr. Ruslan Prijadi
Keyword(s):  
Asset Allocation ◽  
Mutual Fund ◽  
Market Timing ◽  
Selection Strategy ◽  
Fund Manager ◽  
Data Set ◽  
Financial Investment ◽  
Allocation Policy ◽  
Tactical Asset Allocation ◽  
Security Selection

The mutual fund is a fast growing, flexible and sizely attainable product, hence make it as favourable choice for the investors. As in other developing countries, however, the management of the fund invested in mutual fund is done by pointed fund manager. This paper raises and answers the question of how efficient the fund management is. This paper ustilizes the decomposition return model on the monthly data set from 2002-2006 in Indonesia. The model derived, enable us to trace and decompose the management performance into (i) the allocation policy skill, (ii) the security selection skill and (iii) the market timing strategy or the tactical asset allocation abilty.The model estimation result shows significant management capabilities on allocating the fund into suitable asset class. We record that the best asset allocation policy was on February 2002, June 2004, August 2004 and February 2006. Inline with this, another result shows the negatif contribution of the short term-tactical asset allocation as conformed by several previous studies; Treynor-Mazuy (1996), Wardhani (2003), and Henriksson (1984) among others. There is an exception for February 2006 where a successful market timing strategy contributed an additional 7.34% return. The security selection strategy is confirmed to have a positive and significant impact on the mutual fund performance. During the observation period, the best security selection strategy was achieved on February, March and July 2002, September 2003, and March, October, and December 2005. For these certain period, the security selection activities gave more than 2% additional monthly return.The policy implication is straightforward; a more intensively monitoring on the implementation of the planned asset allocation to give a safer financial investment environment for the investors. This paper also suggest the investment manager to provide a sufficient information about the portfolio’s risk profile. Our quantitative description has shown a large varieties both on return and risk across the mutual fund manager showing their varied risk taking behaviour, on which the investor has a right to know.JEL Classification: H54, G11, G31, O16Keywords: Mutual fund, asset allocation, security selection, market timing, period specific estimation, financial investment

scholarly journals Comparação do Desempenho dos Fundos de Ações Ativos e Passivos

2009 ◽  
Vol 7 (2) ◽  
pp. 143 ◽  
Author(s):  
Bruno Ribeiro Castro ◽  
Andrea Maria Accioly Fonseca Minardi
Keyword(s):  
Mutual Funds ◽  
Market Timing ◽  
Portfolio Performance ◽  
Alpha Coefficient ◽  
Marginal Costs ◽  
Net Returns ◽  
Security Selection ◽  
Portfolio Managers ◽  
Book To Market Ratio ◽  
The Moment

We intend to investigate whether active portfolio managers have higher security selection ability than passive managers in Brazil. We built net monthly historical returns and estimated gross historical returns series from January 1996 till October 2006 of 626 stock mutual funds. We used the regression model proposed by Carhart (1997) with the addition of a market timing factor and analyzed the alpha coefficient sign and significance. Our results show that a significant number of managers exploit well-known strategies as size, book-to-market ratio, momentum and market timing. When we use net returns series as the dependent variable, we find that only 4.8% of active portfolios have positive and significant alphas. Active portfolio performance on average is not significantly different than passive portfolio performance. But when we run the regressions using the estimated gross returns, we found that 10.3% of active funds have positive and significant alphas, and on average the performance of active funds is significantly positive. Our results are in accordance with Jensen’s (1978) version of efficient market, in which asset prices reflect existing information till the moment when marginal benefits of using information do not exceed marginal costs.

scholarly journals Market Timing For active Asset Allocation: A Discrete Regression Model Approach

2011 ◽  
Vol 11 (1) ◽  
pp. 125
Author(s):  
Glen A. Larsen, Jr. ◽  
Gregory D. Wozniak
Keyword(s):  
Regression Model ◽  
Asset Allocation ◽  
Market Timing ◽  
The Other ◽  
Portfolio Performance ◽  
Empirical Results ◽  
Portfolio Strategies ◽  
Fixed Weight ◽  
Asset Class ◽  
Model Approach

A discrete regression model (DRM) approach to timing the asset class markets for stocks, bonds, and cash in active asset allocation is presented. The technique involves investing in the asset class whose return is predicted to exceed the other asset class return after observing a sequential signal of estimated probabilities. The empirical results show that the DRM approach provides enhanced portfolio performance when compared to more passive fixed-weight portfolio strategies.

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

Value of Security Selection versus Asset Allocation in Credit Markets

1999 ◽  
Vol 25 (4) ◽  
pp. 11-27 ◽  
Author(s):  
Lev Dynkin ◽  
Peter Ferket ◽  
Jay Hyman ◽  
Erik van Leeuwen ◽  
Wei Wu
Keyword(s):  
Asset Allocation ◽  
Credit Markets ◽  
Security Selection
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