Market timing and selectivity performance of a-type mutual funds in Turkey PDF Download
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Author: Serkan İmişiker
Publisher:
ISBN:
Category : Mutual funds
Languages : tr
Pages : 96
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Author: Serkan İmişiker
Publisher:
ISBN:
Category : Mutual funds
Languages : tr
Pages : 96
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Author: Son-Nan Chen
Publisher:
ISBN:
Category :
Languages : en
Pages :
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This paper evaluates the performance of 15 U.S.-based international mutual funds for the period 1980-89. Selectivity and timing skills of mutual fund managers are the primary criteria for performance evaluation. The technique used here is the one developed by Treynor and Mazuy and refined by Lee and Rahman. We find that many of the international mutual funds outperformed the U.S. market benchmark, perhaps due to the expanded diversification opportunities that they provide. When a world market index is used as the benchmark, fund managers show relatively poor performance in terms of selectivity skills. However, there is strong evidence that some managers rely rather heavily on timing skills in international capital markets.
Author: Wilfred L. Dellva
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Category :
Languages : en
Pages :
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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.
Author: Wenchi Kao
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Category :
Languages : en
Pages :
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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: Stanley J. Kon
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 46
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Author: Aydeen Azimi-Zonooz
Publisher:
ISBN:
Category : Mutual funds
Languages : en
Pages : 394
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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: Gözde Ünal
Publisher:
ISBN:
Category :
Languages : en
Pages : 15
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This paper aims to evaluate the performance of A-Type Turkish equity funds between January 2009 and November 2014. This study period coincides with the period of quantitative easing during which the developing economies in financial markets have been influenced dramatically. Thanks to the increase in the money supply directed towards the capital markets, a relief was experienced in related markets following the crisis period. During this 5-year 10-month period, in which the relevant quantitative easing continued, Borsa Istanbul (BIST) yielded 21% compounded on average, per annum. A-Type Turkish equity funds' weekly returns used also as to compare these funds performance in this period. Within this framework, fourteen A-Type equity funds are included in the study by using weekly returns. In order to measure these funds' performances, Sharpe ratio (1966), Treynor ratio (1965) and Jensen alpha (1968) methods are used. Jensen's alpha also provides information on selectivity skills of fund managers. Additionally, market timing ability of fund managers is analyzed using regression methods of Treynor & Mazuy (1966) and Henriksson & Merton (1981).
Author: Dalia Ahmed El Mosallamy
Publisher:
ISBN:
Category : Mutual funds
Languages : en
Pages : 248
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Author: Gözde Ünal
Publisher:
ISBN:
Category :
Languages : en
Pages : 12
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This paper aims to evaluate the performance of A-type Turkish funds between January 2009 and November 2014. This study period coincides with the period of quantitative easing during which developing economies in financial markets have been influenced dramatically. Thanks to the increase in the money supply directed towards the capital markets, a relief was experienced in related markets following the crisis period. During this 5-year 10-month period, in which the relevant quantitative easing continued, Borsa Istanbul (BIST) yielded 21% compounded on average, per annum. A-type Turkish funds are investigated in order to compare these funds performance within this period. Within this framework, 15 A-type equity funds and 18 A-type variable funds are selected. So as to measure these funds' performance, Sharpe ratio (1966), Treynor ratio (1965) and Jensen alpha (1968) methods are used. Moreover, Jensen's alpha also provides information on selectivity skills of fund managers. Furthermore, Treynor&Mazuy (1966) regression analysis method is applied to market timing ability of fund managers.
Author: K. R. Kadiyala
Publisher:
ISBN:
Category : Mutual funds
Languages : en
Pages : 38
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