scholarly journals An Empirical Investigation of the Performance of Fund Managers in Pakistan

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.

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.

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 An Analysis of Mutual Fund Managers’ Timing Abilities - Evidence From Chinese Equity Funds

2020 ◽  
Vol 11 (4) ◽  
pp. 214
Author(s):  
Jun-Hao Li ◽  
Chun-Fan You
Keyword(s):  
Mutual Fund ◽  
Stock Selection ◽  
Mutual Fund Managers ◽  
Fund Managers ◽  
Timing Ability ◽  
Daily Frequency ◽  
Equity Funds ◽  
Volatility Timing ◽  
Investment Styles ◽  
Timing Models

This paper examines Chinese mutual fund managers’ market, volatility, and liquidity abilities. Using a daily frequency sample of Chinese open-end equity funds from 2015 to 2019, we find evidence that mutual fund managers can time the market. Among the funds with different investment styles, the active funds have better market and liquidity timing ability, whereas the steady funds have better volatility timing ability. In different investment periods, there are more funds with timing ability in the fall period than in the rise period. We find the same results in the market (T-M), volatility, and liquidity timing models. It is especially for the active funds, nearly half of which have liquidity timing ability in the fall period. Among the funds with stock selection ability, the funds with market timing ability can outperform than the funds with other timing ability.

scholarly journals Do Mutual Fund Managers Time Market Sentiment?

2020 ◽  
Vol 11 (5) ◽  
pp. 527
Author(s):  
Jun-Hao Li ◽  
Chun-Fan You ◽  
Chin-Sheng Huang
Keyword(s):  
Mutual Fund ◽  
Market Timing ◽  
Mutual Fund Managers ◽  
Bear Market ◽  
Market Sentiment ◽  
Fund Managers ◽  
Timing Ability ◽  
Equity Funds ◽  
Volatility Timing ◽  
The Impact

This paper examines whether fund managers can adjust the exposure of portfolio to time market sentiment, thus expanding the new dimension of the study of mutual fund managers’ timing ability. Using the data of Chinese open-end equity funds from January 2010 to December 2019, based on the CICSI sentiment index developed by Yi and Mao (2009), we find strong evidence that Chinese mutual fund managers have sentiment ability during the sample period. In addition, the funds with positive sentiment timing ability outperforms those without such by 2.20% per year, and the longer the fund survives, the more likely for it to have sentiment timing ability. Our findings remain robust even after controlling the impact of bull and bear market on China’s A-share market in 2015, market timing, volatility timing and liquidity timing, and after using three new sentiment indicators to verify the finding, three indicators being the net buying amount of northward capital, the net buying amount of financing, and the net ratio of limit up.

scholarly journals MUTUAL FUNDS PERFORMANCE EVALUATION BASED ON SELECTIVITY AND MARKET TIMING

IQTISHODUNA ◽  
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.

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.

scholarly journals Funds Manager and Mutual Funds Characteristics on Mutual Funds Performance: Empirical Evidence of Equity Mutual Funds in Indonesia

2020 ◽  
Vol 11 (2) ◽  
pp. 77
Author(s):  
Rina Rachmawati ◽  
Sugeng Wahyudi ◽  
Irene Rini Demi Pangestuti ◽  
Najmudin .
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Linear Models ◽  
Market Timing ◽  
Investment Strategy ◽  
Investment Fund ◽  
Fund Management ◽  
Fund Managers ◽  
Equity Funds ◽  
Positive Effect

This study examines the effect of investment fund managers' characteristics in the form of tenure, and mutual fund characteristics with proxy turnover portfolios, market timing and stock selectivity on the performance of stock mutual funds. The research sample is 27 stock mutual funds in Indonesia that were active from 2013 to 2017. On the analysis of the relationships between the characteristics of investment managers and mutual funds characteristics on the performance of stock mutual funds, a series of OLS regressions were run. The panel data regression was included based on using the Eviews. All of the above were aimed at achieving portfolio optimization and realizing the maximization of the interests for fund management companies and investors. The main findings are as follows. Tenure does not affect the performance of stock mutual funds during the years 2013 to 2017, but if divided into 2 quadrants of tenure, namely tenure over 19 years and tenure under 19 years of work, the result is that tenure over 19 years has a positive effect on the performance of stock mutual funds, but tenure brought 19 years has no effect on the performance of equity funds, whereas mutual funds characteristics, which are proxied by portfolio turnover, market timing and stock selectivity, have a significant positive effect on the performance of equity funds in Indonesia. The primary limitation in the scope is the sample, because stock mutual funds that publish consistently Financial statements between 2013 and 2017 are few in number. These findings have important implications for fund management companies as input material that the investment strategy of the investment management team affects the performance of equity funds compared to the characteristics of investment managers with proxies for years of service. This paper proposes a new perspective to evaluate the relationship between the fund manager and mutual funds characteristicsanddivide 2 groups of working years, and calculate them with non-linear models.

Emerging market mutual fund performance: evidence for China

2017 ◽  
Vol 11 (2) ◽  
pp. 167-187 ◽  
Author(s):  
Zia-ur-Rehman Rao ◽  
Muhammad Zubair Tauni ◽  
Amjad Iqbal ◽  
Muhammad Umar
Keyword(s):  
Asset Management ◽  
Mutual Fund ◽  
Factor Model ◽  
Emerging Market ◽  
Market Timing ◽  
Content Type ◽  
Fund Managers ◽  
Developed Markets ◽  
Timing Ability ◽  
Equity Funds

Purpose The purpose of this paper is to find whether Chinese equity funds outperform the market and do Chinese fund managers possess positive market timing ability. This study also aims to investigate whether well-performing (worst) funds of last year continue to perform well (worst) in the following year. Design/methodology/approach Capital Asset Pricing Model and Carhart four-factor model are used for performance analysis, whereas for analyzing market timing ability, the Treynor and Mazuy (1966) and Henriksson and Merton (1981) models are applied. To investigate persistence in the performance of Chinese equity funds, all equity funds are divided, on the basis of performance in the past 12 months, into three equally weighted groups (high, middle and low) and then observed for next 12 months. After that, groups are again rebalanced according to their performance. This study uses a panel regression model for analysis. Findings Chinese equity funds are successful in providing higher than market returns, and fund managers possess positive market timing ability. The authors find that Chinese equity funds do not show persistence in performance as witnessed in developed markets. Well-performing funds (worst funds) of last year do not continue to provide higher (lower) return in the following year. Moreover, the authors detect positive relationship of fund size, age and expense ratio with the fund’s performance. Overall results suggest that emerging market equity funds show better performance than that of developed markets. Practical implications Investors are better off if they invest in equity funds instead of index funds, as results illustrate that equity funds outperformed the market. Further, the strategy of buying well-performing funds of last year and selling poorly performing funds of last year does not look very attractive in China. This study helps investors to understand the Chinese managed funds industry, and such an understanding is also helpful for fund managers and asset management companies who use performance information in marketing strategies. Originality/value This is the first study to investigate the performance persistence in Chinese equity funds and also contributes to the literature about the performance and market timing ability of equity funds. The study takes the sample of 520 equity funds for the period from 2004 to 2014, which includes a period of financial crisis of 2008.

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.

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