scholarly journals Market Timing and Selectivity: An Empirical Investigation of European Mutual Fund Performance

2018 ◽  
Vol 11 (2) ◽  
pp. 1 ◽  
Author(s):  
Luís Oliveira ◽  
Tomás Salen ◽  
José Dias Curto ◽  
Nuno Ferreira
Keyword(s):  
Mutual Fund ◽  
Market Timing ◽  
Management Strategies ◽  
Fund Performance ◽  
Active Management ◽  
Superior Performance ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Overall Performance ◽  
European Equity

Using the models proposed by (Treynor & Mazuy, 1966; Henriksson & Merton, 1981), the present study examines the selection and timing abilities of mutual fund managers to denote the practice of these strategies as a means to achieve superior performance. For the 163 European equity mutual funds that followed active management strategies between January 2000 and December 2016, there was no evidence that fund managers used market timing abilities to anticipate the market movements. However, the selectivity component of returns presents slightly positive results, despite the poor overall performance.

Mutual Fund Performance Using Unconditional Multifactor Models: Evidence from India

2018 ◽  
Vol 17 (2_suppl) ◽  
pp. S157-S184 ◽  
Author(s):  
Pankaj K. Agarwal ◽  
H. K. Pradhan
Keyword(s):  
Mutual Fund ◽  
Developed Countries ◽  
Fund Performance ◽  
Superior Performance ◽  
Capital Asset Pricing ◽  
Multifactor Models ◽  
Asset Pricing Model ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Stock Picking

In contrast to developed countries, Indian capital markets do not exhibit strong efficiency and therefore it appears possible that fund managers beat the benchmarks. We examine the existence of superior performance of open-ended equity mutual funds in India with various models including traditional Capital Asset Pricing Model (CAPM)-based as well as recent Fama–French–Carhart (FFC)-factors-based models. We use a survivorship-bias free database including all schemes since inception till recently. We found evidence of stock picking and timing abilities in Indian fund managers. Our results are robust to changes in benchmarks, return frequency, and effects of heteroscedasticity and autocorrelation (HAC).

scholarly journals Manager Tenure - Real Estate Mutual Fund (REMF) Versus Equity Mutual Fund Performance

2012 ◽  
Vol 11 (1) ◽  
pp. 17
Author(s):  
James L. Kuhle
Keyword(s):  
Real Estate ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Performance ◽  
Font Size ◽  
Mutual Fund Managers ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Overall Performance ◽  
Real Estate Assets

<span style="font-family: Times New Roman; font-size: small;"> </span><p style="margin: 0in 0.5in 0pt; text-align: justify; mso-pagination: none;" class="MsoNormal"><span style="font-size: 10pt; mso-bidi-font-style: italic;"><span style="font-family: Times New Roman;">Historically, mixed evidence has been reported suggesting that mutual fund managers exhibit superior returns based on the length of their tenure.<span style="mso-spacerun: yes;"> </span>Further, the result of tenure performance for real estate mutual fund managers has been reported with mixed results.<span style="mso-spacerun: yes;"> </span>Therefore, it is the purpose of this research to consider the effect of management tenure on the overall performance of various classes of equity mutual funds, including those funds that invest exclusively in real estate assets. These results are studied over periods of three, five, and ten-year manager tenure to determine if there is significantly better performance among various tenure groups. </span></span></p><span style="font-family: Times New Roman; font-size: small;"> </span>

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 Mutual Fund Performance: Evidence from India

2019 ◽  
Vol 8 (4) ◽  
pp. 11714-11723
Keyword(s):  
Portfolio Management ◽  
Mutual Fund ◽  
Market Timing ◽  
Investment Strategy ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Stock Selection ◽  
Multifactor Models ◽  
Fund Managers ◽  
Timing Ability

We empirically examine fund managers’ stock selection and market timing ability using various risk-adjusted measures such as CAPM and multifactor models of FamaFrench (1993) and Carhart (1997) to gauge mutual fund performance in India. The sample consists of 183 actively managed equity-oriented funds and covers the period from April 2000 to March 2018. The study, on the whole, documents some evidence of positive and significant stock selection ability but fails to yield any notable evidence of market timing ability of fund managers. Our results are robust according to various riskadjusted performance evaluation techniques, sub-period analysis, excluding the crisis period and at the individual fund level. The findings of our study are in line with the previous studies that report limited selectivity skill and market timing ability among fund managers. The main implication of the study is that active portfolio management may not be very rewarding in comparison to a passive investment strategy.

Do mutual fund managers' possess style liquidity timing abilities?

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mahfooz Alam ◽  
Valeed Ahmad Ansari
Keyword(s):  
Mutual Fund ◽  
Factor Model ◽  
Market Timing ◽  
Market Liquidity ◽  
Content Type ◽  
Fund Managers ◽  
Indian Context ◽  
Equity Mutual Funds ◽  
Equity Funds ◽  
Style Timing

PurposeThis paper investigates the style timing and liquidity style timing vis-à-vis the market, size, value and momentum factors of the actively managed Indian equity mutual funds.Design/methodology/approachWe examine the style timing of the funds using the augmented Carhart four-factor model by incorporating timing measures (Treynor and Mazuy; Henriksson and Merton). Based on this, the study explores the four-factor liquidity and volatility style timing exhibited by fund managers. The sample is from April 2000 to March 2018 and spans the volatile 2008 subprime economic crises. The sample comprised 182 actively managed equity funds from various sizes and was considered to be a well-diversified sample.FindingsThe results of our study provide strong evidence of market liquidity timing in India. No other style timing skills are observed in our analysis. Our results also imply that the fund managers might misidentify size timing as market timing if integrated liquidity timing measures are not employed, leading to false conclusions.Research limitations/implicationsThe findings of our study imply that the fund managers might misidentify size timing as market timing if integrated liquidity timing measures are not employed, leading to false conclusions.Originality/valueThis study, to our knowledge, is the first attempt to investigate the portfolio-based style timing in the Indian context.

Do Mutual Funds Perform When It Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions

2011 ◽  
Vol 01 (03) ◽  
pp. 607-664 ◽  
Author(s):  
Robert Kosowski
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Regime Switching ◽  
Factor Model ◽  
Marginal Utility ◽  
Value Added ◽  
Fund Performance ◽  
Fund Managers ◽  
Switching Performance ◽  
Equity Mutual Funds

This paper shows that the stylized fact of average mutual fund underperformance documented in the literature stems from expansion periods when funds have statistically significant negative risk-adjusted performance and not recession periods when risk-adjusted fund performance is positive. These results imply that traditional unconditional performance measures understate the value added by active mutual fund managers in recessions, when investors' marginal utility of wealth is high. The risk-adjusted performance (or alpha) difference between recession and expansion periods is statistically and economically significant at 3% to 5% per year. Our findings are based on a novel multi-variate conditional regime-switching performance methodology used to carry out one of the most comprehensive examinations of the performance of US domestic equity mutual funds in recessions and expansions from 1962 to 2005. The findings are robust to the choice of the factor model (including bond and liquidity factor extensions), the use of NBER business cycle dates, fund load, turnover, expenses and percentage of equity holdings.

scholarly journals Regime-Switching Determinants of Mutual Fund Performance in South Africa

Economies ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 161
Author(s):  
Richard Apau ◽  
Peter Moores-Pitt ◽  
Paul-Francois Muzindutsi
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Regime Switching ◽  
Fund Performance ◽  
Market Conditions ◽  
Fund Managers ◽  
Fund Flow ◽  
Equity Mutual Funds ◽  
Systemic Factors ◽  
Fund Size

This study assesses the effect of fund-level and systemic factors on the performance of mutual funds in the context of changing market conditions. A Markov regime-switching model is used to analyze the performance of 33 South African equity mutual funds from 2006 to 2019. From the results, fund flow and fund size exert more predictive influences on performance in the bearish state of the market than in the bullish state. Fund age, fund risk, and market risk were found to be the most significant factors driving the performance of active portfolios under time-varying conditions of the market. These variables exert more influence on fund performance under bearish conditions than under bullish conditions, emphasizing the flight-to-liquidity assets phenomenon and risk-aversion behavior of fund contributors during unstable conditions of the market. Consequently, fund managers need to maintain adequate asset bases while implementing policies that minimize dispersions in fund returns to engender persistence in performance. This study provides novel perspectives on how the determinants of fund performance change with market conditions as portrayed by the adaptive market hypothesis (AMH).

scholarly journals The Performance of Corporate Bond Mutual Funds: Evidence Based on Security-Level Holdings

2012 ◽  
Vol 47 (1) ◽  
pp. 159-178 ◽  
Author(s):  
Gjergji Cici ◽  
Scott Gibson
Keyword(s):  
Mutual Fund ◽  
Fund Performance ◽  
Corporate Bond ◽  
Active Management ◽  
Security Level ◽  
Stock Selection ◽  
Fund Managers ◽  
Equity Funds ◽  
Bond Mutual Funds ◽  
Bond Characteristics

AbstractThis is the first study of corporate bond mutual fund performance that examines detailed security-level holdings and returns. The new database allows us to decompose the costs and benefits of active management. In contrast to prior research on equity funds that shows evidence of stock-selection ability, we do not find evidence consistent with bond fund managers, on average, being able to select corporate bonds that outperform other bonds with similar characteristics. We find neutral to weakly positive evidence of ability to time corporate bond characteristics. Overall results show that the costs of active management on average appear larger than the benefits.

scholarly journals Market Timing and Stock Selection Ability of Mutual Funds in India: An Empirical Investigation

2007 ◽  
Vol 32 (2) ◽  
pp. 39-52 ◽  
Author(s):  
Soumya Guha Deb ◽  
Ashok Banerjee ◽  
B B Chakrabarti
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Emerging Market ◽  
Market Timing ◽  
Public Information ◽  
Superior Performance ◽  
Stock Selection ◽  
Mutual Fund Managers ◽  
Fund Managers ◽  
Timing Ability

Evaluation of performance of mutual funds and identification of successful fund managers are of great interest to both investors and academicians. Two possible methods that are presumed to be used by fund managers for generating superior performance are identified as: Market timing: Market timing skills imply assessing correctly the direction of the market, whether bull or bear, and positioning their portfolios accordingly. Stock selection: Stock selection skills involve micro forecasting, which generally forecasts price movements of individual stocks relative to stocks and identification of individual stocks that are under-or over-valued relative to equities in general. The two pioneering works in this field is by Treynor Mazuy( 1966) and Henriksson Merton ( 1981). They developed two different models for testing the market timing and stock selection abilities of the fund managers but found little evidence of timing by the fund managers in their samples. Most of the other works mentioned in the paper have used these two models (which we name as traditional/unconditional models) or slight variations of the same for testing market timing and stock selection abilities of the fund managers. Person and Scadt (1996) modified the classical performance measures (of timing and stock selection ability) to take account of well-known information variables like interest rate, market dividend yield, etc. They termed it as ‘conditional approach’ of measuring mutual fund performance and claimed that conditioning on public information controls for biases in traditional market timing and stock selection models. Traditional models have taken the view that ‘any information’ correlated with the future market returns is superior information; in other words, they are unconditional models. Person and Scadt's approach used basically the same simplifying assumptions as the traditional models but they assumed, in addition, semi-strong form of market efficiency. The idea was to distinguish between market timing based on public information from market timing information that is superior to the lagged publicly available information variables. Although the academic literature on stock selection and market timing ability of mutual fund managers is rich and spans several decades, not many studies exist on this issue using emerging market data. This paper attempts to find the stock selection and market timing abilities of the Indian mutual fund managers using unconditional as well as conditional approaches. With a sample of 96 Indian mutual fund schemes, a lack of market timing ability and presence of stock selection ability were observed among the Indian funds managers in both unconditional as well as conditional approaches. A pooled regression was carried out for various categories of funds as well as for the entire sample, which also showed a lack of market timing abilities and presence of stock selection abilities.

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