Market timing and stock selection performance of mutual fund in bull and bear market condition

2017 ◽  
Vol 10 (3/4) ◽  
pp. 309
Author(s):  
V. Santi Paramita ◽  
Bahri Jafar ◽  
Ifan Wicaksana Siregar
Keyword(s):  
Mutual Fund ◽  
Market Timing ◽  
Market Condition ◽  
Stock Selection ◽  
Bear Market

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 KINERJA MANAJER INVESTASI REKSADANA SAHAM SYARIAH DI INDONESIA

2019 ◽  
Vol 4 (1) ◽  
pp. 1
Author(s):  
ANITA ANITA
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Market Timing ◽  
Market Performance ◽  
Sampling Technique ◽  
Significant Positive Effect ◽  
Stock Selection ◽  
Purposive Sampling ◽  
Merton Model ◽  
Positive Effect

The purpose of this study is to test the ability of investment managers in Islamic mutual funds in their ability to conduct stock selection and market timing. The model developed in this study uses the Henriksson-Merton model. With purposive sampling technique obtained a sample of 31 mutual funds. After testing the results obtained, the performance of Islamic stock mutual funds in Indonesia underperformed compared to the ISSI market performance. The stock selection results contribute negatively to α = 5%, while the ability of market timing has a significant positive effect on mutual fund returns.

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.

ANALISIS DATA PANEL PADA KINERJA REKSADANA SAHAM

Jurnal Varian ◽  
2018 ◽  
Vol 1 (2) ◽  
pp. 59-69
Author(s):  
I Gede Agus Astapa ◽  
Gede Suwardika ◽  
I Ketut Putu Suniantara
Keyword(s):  
Mutual Funds ◽  
Random Effects ◽  
Mutual Fund ◽  
Fixed Effects ◽  
Risk Model ◽  
Panel Data Analysis ◽  
Market Timing ◽  
Stock Selection ◽  
Timing Ability ◽  
Level Of Risk

Mutual funds is another investment opportunity with a more measurable risk as well as return high enough with enough capital is affordable for the community. Mutual fund performance can be measured by several indicators.. Modeling the performance of mutual funds modeled by regression of the data panel. The regression model estimation data panel will do with the three approaches, namely the approach of common effect, fixed effects and random effects. This research purpose to know the performance of mutual funds from stock selection skill variable influences, market timing ability and level of risk with the use of panel data analysis. The results shows that the Fund's performance is affected by the stock selection skill, market timing ability, and the level of risk. Model the right approach to model the performance of mutual funds by using a random effects model.

scholarly journals KOMPARASI REKSADANA SAHAM PERUSAHAAN INVESTASI NASIONAL DAN ASING DI INDONESIA DILIHAT DARI KINERJA, MARKET TIMING DAN STOCK SELECTION

2018 ◽  
pp. 649
Author(s):  
Anak agung ayu Putri Utami ◽  
Luh Gede Sri Artini
Keyword(s):  
Mutual Fund ◽  
Financial Services ◽  
Market Timing ◽  
Stock Selection ◽  
Foreign Companies ◽  
Significant Difference ◽  
The Difference ◽  
Fund Investment ◽  
National Investment ◽  
Better Than

The purpose of this research is to know the significance of the difference between a mutual fund company’s stock of foreign and national investment in Indonesia viewed from performance,to find out which is better between mutual fund investment company national and foreign views of market timing and stock selection.The population of this research is the mutual fund shares that are listed on the website of the financial services authority-performance outperform during periods of 2014-2016. The selection of the samples was done objectively based on investment companies. Assessment of the performance of mutual fund shares using the Sharpe Index while market timing and stock selection using Treynor Mazuy. The method used is the technique of data analysis in the form of two different test averages with the help of IBM SPSS program.The results showed that there was no significant difference between the mutual fund company’s stock of foreign and national investment in Indonesia viewed from the performance by using Sharpe Index, market timing stock mutual fund national invesment better than market timing foreign companies and stock selection mutual fund national invesment better than stock selection foreign companies.

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