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.

scholarly journals Avaliação de Desempenho e Market Timing: O Índice de Habilidade

2003 ◽  
Vol 1 (1) ◽  
pp. 1 ◽  
Author(s):  
Ney Roberto Ottoni de Brito
Keyword(s):  
Portfolio Management ◽  
Hedge Funds ◽  
Market Timing ◽  
Fixed Income ◽  
Fund Managers ◽  
Active Portfolio Management ◽  
Benchmark Portfolio ◽  
Empirical Tests ◽  
Manager Performance ◽  
Managed Funds

MERTON (1981) examines the creation of value by fund managers selecting between stocks and fixed income instruments through market timing. HENRIKSON and MERTON (1981) proceed to propose empirical tests of funds and manager performance in market timing. BRITO, BONA and TACIRO (2003) generalize the results of MERTON (1981) and HENRIKSON and MERTON (1981) for actively managed funds with a clearly defined benchmark portfolio. In the generalized context of active portfolio management, this paper proposes a new index – the Skill Index of Brito (SIB) – to measure the performance and efficiency in market timing of actively managed funds. The paper proceeds to test the performance and skill of hedge funds in Brazil using the SIB. A representative sample of 32 hedge funds with a window of 90 trading days on October 31, 1999 was obtained. The empirical tests of performance and skill use the interbank borrowing and lending rate as the passive benchmark. The results indicate the significance at the 5% level of the SIB for ten hedge funds in the sample. Among them seven funds also have shown significance at the 1% level. In sum the results indicate a majority of hedge funds with no significant skill in the Brazilian market in the examined period.

Revisiting Generation and Meshing Properties of Beveloid Gears

2017 ◽  
Vol 139 (9) ◽  
Author(s):  
Alessio Artoni ◽  
Massimo Guiggiani
Keyword(s):  
Tooth Surface ◽  
Generation Process ◽  
Spur Gears ◽  
Helical Gears ◽  
Additional Degree ◽  
Beveloid Gears ◽  
Fixed Space ◽  
Fixed Axis ◽  
The One ◽  
Special Case

The teeth of ordinary spur and helical gears are generated by a (virtual) rack provided with planar generating surfaces. The resulting tooth surface shapes are a circle-involute cylinder in the case of spur gears, and a circle-involute helicoid for helical gears. Advantages associated with involute geometry are well known. Beveloid gears are often regarded as a generalization of involute cylindrical gears involving one additional degree-of-freedom, in that the midplane of their (virtual) generating rack is inclined with respect to the axis of the gear being generated. A peculiarity of their generation process is that the motion of the generating planar surface, seen from the fixed space, is a rectilinear translation (while the gear blank is rotated about a fixed axis); the component of such translation that is orthogonal to the generating plane is the one that ultimately dictates the shape of the generated, envelope surface. Starting from this basic fact, we set out to revisit this type of generation-by-envelope process and to profitably use it to explore peculiar design layouts, in particular for the case of motion transmission between skew axes (and intersecting axes as a special case). Analytical derivations demonstrate the possibility of involute helicoid profiles (beveloids) transmitting motion between skew axes through line contact and, perhaps more importantly, they lead to the derivation of designs featuring insensitivity of the transmission ratio to all misalignments within relatively large limits. The theoretical developments are confirmed by various numerical examples.

Duration of poor performance and risk shifting by hedge fund managers

2019 ◽  
Vol 40 ◽  
pp. 35-47 ◽  
Author(s):  
Ying Li ◽  
A. Steven Holland ◽  
Hossein B. Kazemi
Keyword(s):  
Hedge Fund ◽  
Poor Performance ◽  
Risk Shifting ◽  
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

MODELING PRIVATE EQUITY FUNDS AND PRIVATE EQUITY COLLATERALISED FUND OBLIGATIONS

2004 ◽  
Vol 07 (03) ◽  
pp. 193-230 ◽  
Author(s):  
Etienne de Malherbe
Keyword(s):  
Private Equity ◽  
Investment Horizon ◽  
Bessel Processes ◽  
Fund Managers ◽  
Investment Value ◽  
Equity Funds ◽  
Private Equity Funds ◽  
Three Stages ◽  
The Individual ◽  
Managed Funds

The recent development of the securitisation of funds of private equity funds poses the question of the individual and joint modelling of the underlying funds. Private equity funds are different from other managed funds because of their particular bounded life cycle: when the fund starts, the investment partners make an initial capital commitment, the fund managers gradually draw down the committed capital into investments, returns and proceeds are distributed as the investments are realised and the fund is eventually liquidated as the final investment horizon is reached. Modelling private equity funds therefore requires three stages: the modelling of the commitment drawdowns, the modelling of the investment value and the modelling of the return repayments. A standard lognormal process is utilised for the dynamics of the investment value. Squared Bessel processes are utilised for the dynamics of the rates of drawdowns and repayments. Résumé: Le récent développement de la titrisation de fonds de fonds de placements privés pose la question de la modélisation individuelle et jointe des fonds sous-jacents. Les fonds de placements privés sont différents des autres sociétés d'investissement à cause de leur cycle de vie particulier et limité: au démarrage du fonds, les associés s'engagent sur un apport initial en capital; puis les gérants du fonds opèrent des tirages progressifs sur le capital apporté pour procéder à des investissements; les revenus et les profits sont distribués à mesure que les investissements sont réalisés; enfin, le fonds est liquidé lorsque l'horizon d'investissement est atteint. La modélisation d'un fonds doit donc se faire en trois étapes: la modélisation des tirages sur l'apport en capital, la modélisation de la valeur des investissements et enfin la modélisation des paiements et remboursements des dividendes et retours sur investissements. Un processus lognormal standard est utilisé pour la dynamique de la valeur des investissements. Des processus de Bessel carré sont utilisés pour la dynamique des taux de tirage et de remboursement.

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