MUTUAL FUNDS PERFORMANCE EVALUATION BASED ON SELECTIVITY AND MARKET TIMING

IQTISHODUNA ◽

10.18860/iq.v0i0.1737 ◽

2012 ◽

Author(s):

Werner R. Murhadi

Keyword(s):

Performance Evaluation ◽

Mutual Funds ◽

Mutual Fund ◽

Market Timing ◽

Empirical Evaluation ◽

Stock Selection ◽

Data Set ◽

Mutual Fund Managers ◽

Fund Managers

This paper is an empirical evaluation of the performance of mutual fund managers in terms of “market timing” and “selectivity”, within the framework suggested by Treynor and Mazuy (1966) and Henriksson and Merton (1981). The relevant data set is a balanced panel of 55 (fifty five) mutual funds, over a 17 (seventeen)-month period began from February 2008 until June 2009. The result found that only 4 (four) mutual funds demonstrated a good performance in market timing and 4 (four) mutual funds showed a good performance in stock selection. Both methods have a good indicator to reflect mutual funds performance.

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An Empirical Investigation of the Performance of Fund Managers in Pakistan

iRASD Journal of Management ◽

10.52131/jom.2021.0301.0026 ◽

2021 ◽

Vol 3 (1) ◽

pp. 56-68

Author(s):

Sanaullah Sanaullah ◽

Amna Noor ◽

Salleh Khan ◽

Muhammad Shahbaz Khan

Keyword(s):

Mutual Funds ◽

Mutual Fund ◽

Market Timing ◽

Performance Study ◽

Stock Selection ◽

Mutual Fund Managers ◽

Fund Managers ◽

Timing Ability ◽

Equity Funds ◽

Manager Performance

This study aims to determine the stock selection ability and market timing ability of mutual fund managers, focusing on conventional funds and Islamic funds in Pakistan. Although there has been significant growth in the number and assets of mutual funds in recent years, few studies measure the performance of mutual funds managers. The scarcity of existing literature motivates this study. In this study, two models are used to measure the stock selection and market timing on a sample of conventional mutual funds and Islamic mutual funds over 2010 and 2019 using annual returns. Overall, the results indicate that the performance study of conventional mutual funds and Islamic mutual funds indicates that manager performance is not superior in all three portfolios, i.e., conventional funds, Islamic funds, and overall funds in over sample period. This also indicates that both Conventional and Islamic fund managers do not outperform the market (KSE 100 index). Thus, there is a lack of market timing ability. Using Tranoy and mazuy and Jansen models found a lack of stock selection and market timing ability of mutual fund managers in Pakistani mutual funds. In this study, I have applied only two models to examine both the timing and selection ability of conventional and Islamic Pakistani equity funds. For future possibilities, the study suggests adopting several methods and approaches like the TMFF3 model and HM-FF3 model, making the study more comprehensive and accurate than this research.

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

Vikalpa The Journal for Decision Makers ◽

10.1177/0256090920070204 ◽

2007 ◽

Vol 32 (2) ◽

pp. 39-52 ◽

Cited By ~ 10

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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MANAGERIAL ABILITIES AND FACTOR INVESTMENT STYLE PERFORMANCES OF MALAYSIAN MUTUAL FUND MANAGERS

Journal of Nusantara Studies (JONUS) ◽

10.24200/jonus.vol6iss1pp118-135 ◽

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

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Market Timing And Selectivity: An Empirical Investigation Into The Features Of Greek Mutual Fund Managers

Journal of Applied Business Research (JABR) ◽

10.19030/jabr.v18i3.2143 ◽

2011 ◽

Vol 18 (3) ◽

Cited By ~ 1

Author(s):

Nikolaos Philippas

Keyword(s):

Empirical Evidence ◽

Mutual Fund ◽

Performance Index ◽

Empirical Investigation ◽

Market Timing ◽

Font Size ◽

Data Set ◽

Mutual Fund Managers ◽

Fund Managers ◽

Market Index

Τhis paper is an empirical assessment of the performance of mutual fund managers in terms of “market timing” and “selectivity”, within the framework suggested by Treynor and Mazuy (1966) and Henriksson and Merton (1981). The relevant data set is a balanced panel of nineteen Greek managers, over a sixty-month period. Empirical evidence does not provide support for correct timing, irrespectively of how the returns of the market index are calculated. It is interesting to note that using the Total Performance Index reduces the ability of managers for selectivity. This result holds for both the models utilized in our study.

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Do Equity Mutual Fund Managers Possess efficient Stock Selection Skills?

International Journal of Recent Technology and Engineering - 2 ◽

10.35940/ijrte.f1214.038620 ◽

2020 ◽

Vol 8 (6) ◽

pp. 5773-5780

Keyword(s):

Mutual Funds ◽

Capital Market ◽

Mutual Fund ◽

Stock Selection ◽

Fund Manager ◽

Mutual Fund Managers ◽

Fund Managers ◽

Investment Firm ◽

Research Document ◽

Stock Investments

With a primary and single intent, Investors wants to take a position his hard earning money in such investment product which generate higher returns to him . Bunch of Investment options are there for Today’s Investors in this financial world, starting from Equity Stock investments to Gold, from property to Fixed Deposit and From Mutual Funds to Investments in Commodities. Supported risk craving & return desire, Investors can select from these investment avenues. Lagging in knowledge, experience & resources for directly accessing the capital market, also investors generally don’t have adequate time, they need to depend upon a mediator, which undertakes informed investment decisions & provides substantial benefits of professional proficiency. Therefore investment firm has been came with this plus point for such kind of investors through which they’ll have also access to capital market indirectly. A mutual fund is that the best suited investment for the ordinary saver because it proposes a chance to take a position in a diversified, professionally managed hamper of securities at a moderately squat price.Usually, the main focus in evaluating the performance of a mutual fund has been on fund manager’s skill available in stock selection. This paper is a pragmatic measurement of the performance of mutual fund managers in terms of “Stock selectivity”, within the structure suggested by Eugene Fama (1972). The study examines the performance of 34 Equity Linked Saving Schemes. The reference period for the study is January 2015 to December 2019. Stock selection is that the nub within the investment administration & management process. It involves identifying and selecting undervalued securities which among other things requires the successful forecasting of the corporate specific events or a capability to predict the final behavior of security prices within the future. If the fund manager is in a position to spot and choose the undervalued securities for the portfolio, then it’ll be possible for the fund manager to extend the returns of the schemes and vice versa. In practice fund managers are expected to produce advanced returns for unit holders Constantly as being professionals therefore possess superior skills to gather and analyze the information with the aim to pick the correct style of securities for the portfolio. In this research document stock selectivity skills of fund managers of Equity Linked Savings Scheme were dissected by using Jensen’s Alpha and Fama’s net selectivity measure. The upshot of the study reveal that bulk of the schemes has shown assenting alpha and most of the fund managers possess finer selectivity skills

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