The Market Timing Ability of UK Mutual Funds
We apply a recent nonparametric methodology to test the market timing skills of UK equity and balanced mutual funds. The methodology has a number of advantages over the widely used regression based tests of <link rid="b44">Treynor-Mazuy (1966)</link> and <link rid="b31">Henriksson-Merton (1981)</link>. We find a relatively small number of funds (around 1%) demonstrate positive market timing ability at a 5% significance level while around 19% of funds exhibit negative timing and on average funds miss-time the market. However, controlling for publicly available information we find very little evidence of market timing ability based on private timing signals. In terms of investment styles, there are a small number of successful positive market timers amongst Equity Income and 'All Company' funds but not among either Small Stock funds or Balanced funds, although a few small stock funds are found to time a small stock index rather than a broad market index. Copyright (c) 2009 The Authors Journal compilation (c) 2009 Blackwell Publishing Ltd.
Year of publication: |
2010-01
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Authors: | Cuthbertson, Keith ; Nitzsche, Dirk ; O'Sullivan, Niall |
Published in: |
Journal of Business Finance & Accounting. - Wiley Blackwell, ISSN 0306-686X. - Vol. 37.2010-01, 1-2, p. 270-289
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Publisher: |
Wiley Blackwell |
Saved in:
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