A Power Comparison Of Mutual Fund Timing And Selectivity Models Under Varying Portfolio And Market Conditions PDF Download
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| Author | : Aydeen Azimi-Zonooz |
| Publisher | : |
| Total Pages | : 394 |
| Release | : 1992 |
| Genre | : Mutual funds |
| ISBN | : |
Download A Power Comparison of Mutual Fund Timing and Selectivity Models Under Varying Portfolio and Market Conditions Book in PDF, ePub and Kindle
The goal of this study is to test the accuracy of various mutual fund timing and selectivity models under a range of portfolio managerial skills and varying market conditions. Portfolio returns in a variety of skill environments are generated using a simulation procedure. The generated portfolio returns are based on the historical patterns and time series behavior of a market portfolio proxy and on a sample of mutual funds. The proposed timing and selectivity portfolio returns mimic the activities of actual mutual fund managers who possess varying degrees of skill. Using the constructed portfolio returns, various performance models are compared in terms of their power to detect timing and selectivity abilities, by means of an iterative simulation procedure. The frequency of errors in rejecting the null hypotheses of no market timing and no selectivity abilities shape the analyses between the models for power comparison. The results indicate that time varying beta models of Lockwood- Kadiyala and Bhattacharya-Pfleiderer rank highest in tests of both market timing and selectivity. The Jensen performance model achieves the best results in selectivity environments in which managers do not possess timing skill. The Henriksson-Merton model performs most highly in tests of market timing in which managers lack timing skill. The study also investigates the effects of heteroskedasticity on the performance models. The results of analysis before and after model correction for nonconstant error term variance (heteroskedasticity) for specific performance methodologies do not follow a consistent pattern.
| Author | : Dunhong Jin |
| Publisher | : International Monetary Fund |
| Total Pages | : 46 |
| Release | : 2019-11-01 |
| Genre | : Business & Economics |
| ISBN | : 1513519492 |
Download Swing Pricing and Fragility in Open-end Mutual Funds Book in PDF, ePub and Kindle
How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.
| Author | : Matthew I. Spiegel |
| Publisher | : |
| Total Pages | : 40 |
| Release | : 2005 |
| Genre | : |
| ISBN | : |
Download Estimating the Dynamics of Mutual Fund Alphas and Betas Book in PDF, ePub and Kindle
Consider an economy in which the underlying security returns follow a linear factor model with constant coeffcients. While portfolios that invest in these securities willin general, have a linear factor structure, it will be one with time-varying coeffcients. However, under certain assumptions regarding the portfolio's investment strategy, it is possible to estimate these time-varying alphas and betas. Importantly, this can be done without direct knowledge of either the portfolio manager's exact investment strategy or of the alphas and betas of the individual securities in which the portfolio invests. This paper develops and estimates a Kalman amp;filter statistical model to track time-varying fund alphas and betas. Several tests indicate that relative to a rolling OLS model the Kalman amp;filter model produces more accurate fund factor loadings both in and out of sample. This appears to be in large part due to the attempts of fund managers to time the market by varying their fund's risk exposure from period to period. Another advantage of the Kalman amp;filter model is that the dynamic parameter estimates can be used to classify funds by their trading strategies and to determine the source of a fund's proamp;fits or losses. The tests in this paper indicate that the superior and inferior returns produced by some funds arise almost entirely from attempts at market timing rather than managerial selectionability. However, as other research in the area of mutual fund performance measurement have found, overall there appears to be little evidence that, inaggregate, fund investors earn superior returns.
| Author | : Shimon Kogan |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2009 |
| Genre | : Investments |
| ISBN | : |
Download Is Investor Rationality Time Varying? Book in PDF, ePub and Kindle
We provide new empirical evidence suggesting that the marginal investor in mutual funds behaves differently across market conditions. If the marginal investor allocates capital across mutual funds rationally, then the relative performance of funds should be unpredictable. We find however that relative fund performance is predictable after periods of high market returns but not after periods of low market returns. The asymmetric predictability in performance we document cannot be explained by time-varying differences in transaction costs or style exposures between funds, or by sample selection. Consistent with the hypothesis that the asymmetric predictability in performance may be driven by unsophisticated investors' mistakes when allocating capital, we document that performance predictability is more pronounced for funds that cater to retail investors than for funds that cater to institutional investors.
| Author | : Wenchi Kao |
| Publisher | : |
| Total Pages | : |
| Release | : 2001 |
| Genre | : |
| ISBN | : |
Download International Mutual Fund Selectivity and Market Timing During Up and Down Conditions Book in PDF, ePub and Kindle
This study examines the selectivity and market timing ability of international mutual fund managers. Ninety-seven international mutual funds with a minimum of five-year return history selected from the Morningstar OnDisc database are analyzed. Our findings suggest that managers of international mutual funds possess good selectivity and overall performance. We also find weak evidence of poor market-timing ability. Consistent with prior findings from domestic mutual funds, there is a negative correlation between the international fund managers' selection ability and market-timing ability. Finally, managers for European funds show poorer performance than those managing the other three international fund groups.
| Author | : Vincent Glode |
| Publisher | : |
| Total Pages | : 50 |
| Release | : 2009 |
| Genre | : Investments |
| ISBN | : |
Download Is investor rationality time varying? : evidence from the mutual fund industry Book in PDF, ePub and Kindle
We provide new empirical evidence suggesting that the marginal investor in mutual funds behaves differently across market conditions. If the marginal investor allocates capital across mutual funds rationally, then the relative performance of funds should be unpredictable. We find however that relative fund performance is predictable after periods of high market returns but not after periods of low market returns. The asymmetric predictability in performance we document cannot be explained by time-varying differences in transaction costs or style exposures between funds, or by sample selection. Consistent with the hypothesis that the asymmetric predictability in performance may be driven by unsophisticated investors' mistakes when allocating capital, we document that performance predictability is more pronounced for funds that cater to retail investors than for funds that cater to institutional investors.
| Author | : Tianyu Wang |
| Publisher | : |
| Total Pages | : 48 |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Download Revealed Preferences of Mutual Fund Investors in Good and Bad Times Book in PDF, ePub and Kindle
Recent works demonstrate that the Capital Asset Pricing Model (CAPM) alpha is most likely used by investors as the performance measure in mutual fund. I explore the validity of this claim in different market conditions and show that the CAPM is only preferred by investors in good times, but it fails against the simple model (fund return minus market return) in bad times. Fund characteristics and investor sophistication cannot explain the pattern. The time-varying fund flow sensitivity to different fund performance components matters. Decomposing the fund return measured by this simple model into the CAPM alpha and a component proxy for market timing performance, I find that the fund flow sensitivity to market timing performance is countercyclical.
| Author | : Jan Harkopf |
| Publisher | : diplom.de |
| Total Pages | : 87 |
| Release | : 2016-10-07 |
| Genre | : Business & Economics |
| ISBN | : 3960675763 |
Download Investment Criteria for Mutual Fund Selection Book in PDF, ePub and Kindle
The importance of mutual funds for individual investors has increased in recent decades. This becomes apparent when looking at the increased share of households owning mutual funds. These mutual fund investors usually want to receive a return which is above or at least close to the mutual fund’s benchmark. Consequently, investors want to invest in those funds which will show these patterns in the future. Some of these mutual funds receive much attention, since they generate extraordinary high performance. But the question that remains is whether it is possible to predict such performance before funds exhibit such outstanding performance. In the past, mutual fund investors focused extensively on performance or performance linked patterns, like the Morningstar star rating, and thus chased past performance. This seems surprising since performance persists only over a short time and is more persistent to weak mutual funds (1 and 2 star rated) than well performing mutual funds. Thus, chasing past performances seems to be a rather inferior strategy. Therefore, investors should try to identify alternative tools showing a high correlation to future mutual fund performance. In this book, mutual funds are analysed, especially open-end mutual funds and actively managed mutual funds. The main focus is on what purpose and usefulness active investments have and whether performance is persistent and what the determinants of mutual fund flows are. Moreover, some alternative measures will be introduced by explaining which attributes or methods should be used and avoided when selecting mutual funds.
| Author | : |
| Publisher | : |
| Total Pages | : 612 |
| Release | : 2004 |
| Genre | : Dissertations, Academic |
| ISBN | : |
Download Dissertation Abstracts International Book in PDF, ePub and Kindle
Abstracts of dissertations available on microfilm or as xerographic reproductions.
| Author | : Wilfred L. Dellva |
| Publisher | : |
| Total Pages | : |
| Release | : 2001 |
| Genre | : |
| ISBN | : |
Download Selectivity and Market Timing Performance of Fidelity Sector Mutual Funds Book in PDF, ePub and Kindle
In this paper, we test the selectivity and timing performance of the Fidelity sector mutual funds during the 1989-1998 time period. We use the Samp;P 500, the Dow Jones Industry Group Total Return Indexes, and the Dow Jones Subgroup Total Return Indexes as benchmarks. When we use the Dow Jones Industry benchmarks, our results indicate that many sector fund managers have positive selectivity but negative timing ability. We also find that the results are sensitive to our choice of benchmark and timing model.
