scholarly journals The Market Timing Ability of UK Equity Mutual Funds

2006 ◽  
Author(s):  
Keith Cuthbertson ◽  
Dirk Nitzsche ◽  
Niall O'Sullivan
Keyword(s):  
Mutual Funds ◽  
Market Timing ◽  
Equity Mutual Funds ◽  
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 An Empirical Investigation of the Performance of Japanese Mutual Funds: Skill or Luck?

2019 ◽  
Vol 7 (1) ◽  
pp. 6 ◽  
Author(s):  
Keith Pilbeam ◽  
Hamish Preston
Keyword(s):  
Mutual Funds ◽  
Empirical Investigation ◽  
Market Timing ◽  
Active Management ◽  
Capital Asset Pricing ◽  
Equal Weight ◽  
Cross Sectional ◽  
Asset Pricing Model ◽  
Equity Mutual Funds ◽  
Timing Ability

This paper assesses the performance of 355 actively managed Japanese Equity Mutual Funds between April 2011 and April 2016. The equal weight portfolio and Jensen’s alpha measures of active management provide strong evidence that Japanese Mutual Funds fail to outperform the benchmark four-factor capital asset pricing model. When it comes to market timing, the Treynor and Mazuy measure shows that 33 funds have significant positive market timing ability which is largely offset by 31 funds with significant negative timing ability. To ensure the statistical inference is robust to the non-normality found in 33 funds we employ Fama and French’s cross-sectional bootstrap. The results show that a large proportion of funds fail to outperform a hypothetical world with no skill. On the persistence of skill we find that there is stronger persistence for poor performing funds than for strong performing funds.

scholarly journals Stock Selection dan Market Timing Ability Reksa Dana Syariah Saham di Indonesia

2019 ◽  
Vol 1 (2) ◽  
pp. 68-81
Author(s):  
Fadiyah Hani Sabila
Keyword(s):  
Data Analysis ◽  
Panel Data ◽  
Mutual Funds ◽  
Panel Data Analysis ◽  
Market Timing ◽  
Random Effect ◽  
Stock Selection ◽  
Equity Mutual Funds ◽  
Analysis Technique ◽  
Timing Ability

The purpose of this research is to know investment manager’s ability on stock selection and market timing of Indonesia sharia equity mutual funds on 2015-2017. Number of sample that use in this research is 15 sample with purposive sampling method. Data analysis technique used is Treynor-Mazuy condition regression model using panel data. This research method using panel data analysis test that is test Chow, Hausman, and Lagrange Multiplier. The result showed that the model chosen is a random effect models. F test and T test results indicate that investment manager’s of Indonesia sharia equity mutual funds have stock selection and market timing ability.

scholarly journals PENGARUH STOCK SELESCTION SKIIL, MARKET TIMING ABILITY, TURNOVER RATIO DAN CASH FLOW TERHADAP KINERJA REKSA DANA SYARIAH

2019 ◽  
Vol 1 (01) ◽  
pp. 45-55
Author(s):  
Mega Mustika Sari ◽  
Sri Mulyati ◽  
Estu Widarwati
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Market Timing ◽  
Coefficient Of Determination ◽  
Research Report ◽  
Stock Selection ◽  
Turnover Ratio ◽  
Equity Mutual Funds ◽  
Timing Ability ◽  
Investment Manager

Mutual funds syariah are other investment opportunities with measurable risk and return is high enough with enough capital affordable to the community. Mutual funds syariah have an Investment Manager with the ability and knowledge of the market it is or will happen. Therefore, mutual funds syariah selected by investors because it is cheap, easy and "managed by the experts". This research analysted do stock selection skill, market timing ability, Turnover ratio and Cashflow can influence the performance of equity mutual funds syariah in Indonesia. The data used in this research are data on financial statements , Net Asset Value (NAV), SBI, IHSG, yearly data and prospectus of 10 equity mutual fund syariah that were sampled during this research report from 2011-2014. As a research methodology, we used F test and t test to examine research’s hypothesis, also used assumption classic test there are normality test, autocorrelation test, heteroscedasticity test and multicolinearity test. These results can be viewed on multiple regression analysis and the coefficient of determination, the R value of 0.513 means the relation between the stock selection skill, market timing ability, Turnover ratio and Cashflow to profitability by 51.3%, meaning that the relationship between variables was most closely. Adjusted R Square value of 0.545 which means 54,5% achievement of profitability can be explained by the stock selection skill, market timing ability, Turnover ratio and Cashflow. The remaining 45,5% can be explained by other factors not examined in this research..

scholarly journals Stock Selectivity Skill, Market Timing Ability, Risiko, Size, and Comparison of Performance Islamic Share Mutual Funds

2020 ◽  
Vol 9 (2) ◽  
pp. 137
Author(s):  
Elliv Hidayatul Lailiyah ◽  
Rahmat Setiawan
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Market Timing ◽  
Positive Influence ◽  
Investment Activity ◽  
Muslim Population ◽  
Equity Mutual Funds ◽  
Timing Ability ◽  
High Return ◽  
The Right

Indonesia is one of the countries with the largest Muslim population about 87%. The high population of the Muslim in Indonesia should be able to provide great potential in terms of Islamic finance as investment activity, which will certainly contribute positively to the Indonesian economy. Investors will always be interested in investment with high return and low risk. One of the alternative is mutual fund especially sharia equity mutual funds. The choice of the right mutual fund should pay attention to how the performance of the mutual fund. This study examine how performance of sharia equity mutual funds using Sharpe, Treynor and Jensen method are affected by stock selectivity skill, market timing ability, risk and size during 2012-2017. The finding of this research are stock selectivity skill,market timing ability, risk and size are significantly positive influence to the performance of sharia equity mutual fund. The influence of stock selectivity skill, market timing ability, risk and size are very strong if measured by treynor method.

scholarly journals DETERMINAN KINERJA REKSADANA SAHAM SYARIAH

2020 ◽  
Vol 7 (5) ◽  
pp. 940
Author(s):  
Meidiana Rizki Adelia ◽  
Muhammad Nafik Hadi Ryandono
Keyword(s):  
Regression Analysis ◽  
Mutual Funds ◽  
Market Timing ◽  
Linear Regression Analysis ◽  
Sampling Technique ◽  
Multiple Linear Regression Analysis ◽  
Stock Selection ◽  
Equity Mutual Funds ◽  
Timing Ability ◽  
Research Type

There are a lot of factors that determine the sharia equity mutual funds performance, included stock selection skill, market timing ability, and fund age. This study aims to understand the effect of stock selection skill, market timing ability, and fund age on the sharia equity mutual funds performance in Indonesia from 2012 to 2018. This research uses a quantitative approach using an explanatory research type. The sampling technique in this study was purposive sampling and 6 sharia equity mutual funds were selected as samples. This study uses multiple linear regression analysis. The result of the study displayed that stock selection skill and market timing ability have a significant effect on the performance of sharia equity mutual funds in Indonesia from 2012 to 2018. On the contrary, fund age have no effect on the performance of sharia equity mutual funds in Indonesia from 2012 to 2018. Keywords: stock selection skill, market timing ability, fund age, sharia equity mutual funds perfomance

scholarly journals A global approach to mutual funds market timing ability

2013 ◽  
Vol 20 ◽  
pp. 96-101 ◽  
Author(s):  
Laurent Bodson ◽  
Laurent Cavenaile ◽  
Danielle Sougné
Keyword(s):  
Mutual Funds ◽  
Market Timing ◽  
Global Approach ◽  
Timing Ability

scholarly journals Market timing ability and mutual funds: a heterogeneous agent approach

2013 ◽  
Vol 13 (10) ◽  
pp. 1613-1620 ◽  
Author(s):  
Bart Frijns ◽  
Aaron Gilbert ◽  
Remco C.J. Zwinkels
Keyword(s):  
Mutual Funds ◽  
Market Timing ◽  
Heterogeneous Agent ◽  
Timing Ability

scholarly journals A Global Approach to Mutual Funds Market Timing Ability

2012 ◽  
Author(s):  
Danielle Marie Sougné ◽  
Laurent Bodson ◽  
Laurent Cavenaile
Keyword(s):  
Mutual Funds ◽  
Market Timing ◽  
Global Approach ◽  
Timing Ability

Mutual fund alpha and daily market-timing ability

2019 ◽  
Vol 36 (4) ◽  
pp. 662-681
Author(s):  
Qiang Bu
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Design Methodology ◽  
Market Timing ◽  
Content Type ◽  
Market Return ◽  
Timing Ability

Purpose This study aims to examine whether mutual funds can earn daily alpha and time daily market return. Design/methodology/approach Based on the Treynor and Mazuy (1966) model and the Henriksson and Merton (1981) model, the author tests the daily market-timing ability of actual mutual funds and bootstrapped mutual funds. Findings The author finds that daily alpha and daily market-timing ability can come from pure luck. In addition, the relation between fund alpha and market-timing ability is at best minimal. Originality/value Using bootstrapped funds as the benchmark, this study shows that daily fund market is overall efficient.

Sign in / Sign up

Export Citation Format

Share Document