Short term persistence in mutual fund market timing and stock selection abilities
Autor(a) principal: | |
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Data de Publicação: | 2011 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | https://ciencia.iscte-iul.pt/id/ci-pub-10284 http://hdl.handle.net/10071/14085 |
Resumo: | Using daily return data from 448 actively managed mutual funds over a recent 9-year period, we look for persistence, over two consecutive quarters, in the ability of funds to select individual stocks and time the market. That is, we decompose overall fund performance into excess returns resulting from stock selection and timing abilities and we separately test for persistence in each ability. We find persistence in the ability to time the market only among well performing funds and in the ability to select stocks only among the very best and worst performers. The existing literature patterns appear only when funds are ranked by their overall performance, which includes stock selection, market timing and fees. With respect to overall performance, there is persistence among most poorly performing and only the top well performing funds. Furthermore, the profitability of a winner-picking strategy depends on the rebalancing frequency and potentially the size of the investment. Small investors cannot profit, whereas large investors can take advantage of the class-A share fee structure and realize positive abnormal returns by annually rebalancing their portfolios. |
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Short term persistence in mutual fund market timing and stock selection abilitiesMarket timingMutual fund performanceStock selectionUsing daily return data from 448 actively managed mutual funds over a recent 9-year period, we look for persistence, over two consecutive quarters, in the ability of funds to select individual stocks and time the market. That is, we decompose overall fund performance into excess returns resulting from stock selection and timing abilities and we separately test for persistence in each ability. We find persistence in the ability to time the market only among well performing funds and in the ability to select stocks only among the very best and worst performers. The existing literature patterns appear only when funds are ranked by their overall performance, which includes stock selection, market timing and fees. With respect to overall performance, there is persistence among most poorly performing and only the top well performing funds. Furthermore, the profitability of a winner-picking strategy depends on the rebalancing frequency and potentially the size of the investment. Small investors cannot profit, whereas large investors can take advantage of the class-A share fee structure and realize positive abnormal returns by annually rebalancing their portfolios.Springer Verlag2017-07-19T13:44:41Z2011-01-01T00:00:00Z20112017-07-19T13:38:47Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://ciencia.iscte-iul.pt/id/ci-pub-10284http://hdl.handle.net/10071/14085eng1614-244610.1007/s10436-010-0173-3Benos, E.Jochec, M.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:55:00Zoai:repositorio.iscte-iul.pt:10071/14085Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:27:54.305499Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Short term persistence in mutual fund market timing and stock selection abilities |
title |
Short term persistence in mutual fund market timing and stock selection abilities |
spellingShingle |
Short term persistence in mutual fund market timing and stock selection abilities Benos, E. Market timing Mutual fund performance Stock selection |
title_short |
Short term persistence in mutual fund market timing and stock selection abilities |
title_full |
Short term persistence in mutual fund market timing and stock selection abilities |
title_fullStr |
Short term persistence in mutual fund market timing and stock selection abilities |
title_full_unstemmed |
Short term persistence in mutual fund market timing and stock selection abilities |
title_sort |
Short term persistence in mutual fund market timing and stock selection abilities |
author |
Benos, E. |
author_facet |
Benos, E. Jochec, M. |
author_role |
author |
author2 |
Jochec, M. |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Benos, E. Jochec, M. |
dc.subject.por.fl_str_mv |
Market timing Mutual fund performance Stock selection |
topic |
Market timing Mutual fund performance Stock selection |
description |
Using daily return data from 448 actively managed mutual funds over a recent 9-year period, we look for persistence, over two consecutive quarters, in the ability of funds to select individual stocks and time the market. That is, we decompose overall fund performance into excess returns resulting from stock selection and timing abilities and we separately test for persistence in each ability. We find persistence in the ability to time the market only among well performing funds and in the ability to select stocks only among the very best and worst performers. The existing literature patterns appear only when funds are ranked by their overall performance, which includes stock selection, market timing and fees. With respect to overall performance, there is persistence among most poorly performing and only the top well performing funds. Furthermore, the profitability of a winner-picking strategy depends on the rebalancing frequency and potentially the size of the investment. Small investors cannot profit, whereas large investors can take advantage of the class-A share fee structure and realize positive abnormal returns by annually rebalancing their portfolios. |
publishDate |
2011 |
dc.date.none.fl_str_mv |
2011-01-01T00:00:00Z 2011 2017-07-19T13:44:41Z 2017-07-19T13:38:47Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://ciencia.iscte-iul.pt/id/ci-pub-10284 http://hdl.handle.net/10071/14085 |
url |
https://ciencia.iscte-iul.pt/id/ci-pub-10284 http://hdl.handle.net/10071/14085 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
1614-2446 10.1007/s10436-010-0173-3 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Springer Verlag |
publisher.none.fl_str_mv |
Springer Verlag |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799134841320505344 |