Market Timing by Global Fund Managers

2003 ◽  
Author(s):  
Debra A. Glassman ◽  
Leigh A. Riddick
Keyword(s):  
Global Fund ◽  
Market Timing ◽  
Fund Managers

Market timing by global fund managers

2006 ◽  
Vol 25 (7) ◽  
pp. 1029-1050 ◽  
Author(s):  
Debra A. Glassman ◽  
Leigh A. Riddick
Keyword(s):  
Global Fund ◽  
Market Timing ◽  
Fund Managers

scholarly journals Analysis of Selectivity and Timing Skills of Fund Managers

2020 ◽  
Vol 6 ◽  
pp. 1
Author(s):  
Ashima Agarwal ◽  
Sanjeev Bansal ◽  
Lakhwinder K. Dhillon ◽  
◽  
◽  
...  
Keyword(s):  
Market Timing ◽  
Fund Manager ◽  
Fund Managers ◽  
Insight Into

There have been massive research works done on the concept of market timing and selectivity skills that are applied by the fund managers to optimize the returns to the fundholders/investors/clientele. The fact that still remains unidentified/studied is the factor(s) that are influential enough for the maximization of returns. There is a general perception that investors will only look upon the returns but the very factor that may influence that return is yet to be analyzed. This study focuses on gaining an insight into whether there is any correlation that exists between the fund manager’s selection or/and market timing abilities that, in turn, can be useful to the investors also in finding out which fund and fund manager to be trusted for investment.

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

A Generalized Approach to Measure Market Timing Skills of Fund Managers

2014 ◽  
Vol 3 (1) ◽  
pp. 40-75
Author(s):  
George Woodward ◽  
Robert Brooks
Keyword(s):  
Market Timing ◽  
Poor Performance ◽  
Generation Process ◽  
Market Conditions ◽  
Fund Managers ◽  
Timing Model ◽  
Realistic Representation ◽  
Managed Funds ◽  
Special Case ◽  
Fund Return

In this paper the authors extend the analysis in Woodward and Brooks (2010) to derive a generalized form of Merton's (1981) dual beta market timing model that allows for continuous adjustment of portfolio beta in response to changing market conditions, and also includes the dual beta model as a special case. The model provides a more realistic representation of the fund return generation process. Using this model the authors test the market timing skills of fund managers for a sample of Australian superannuation funds for the period 1990 to 2002. The authors find that managed funds in which investors voluntarily select a given fund (retail funds) experience frequent rebalancing when compared to managed funds in which the investors' contribution is involuntary (wholesale funds). The authors relate the greater sensitivity to all changes in market conditions of retail funds to higher expenses and poor performance that was found in a recent study by Langford, Faff and Marisetty (2006). The results have important implications for Australian superannuation policy, since the Australian Government, effective from 1st July 2005, has required all funds to introduce voluntary contribution schemes.

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