Market Timing and Selectivity: An Empirical Investigation of European Mutual Fund Performance

Oliveira, Luís; Salen, Tomás; Curto, José Dias; Ferreira, Nuno

doi:10.5539/ijef.v11n2p1

Cited by 9 publications

(7 citation statements)

References 38 publications

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“…Many previous studies established that the persistent performance of investment funds managers is the result of two skills: market and timing selection ability. Some authors argued that the persistent or superior performance can be achieved if managers develop both selectivity and market anticipation strategies (Oliveira et al 2019) The ability of fund managers to outperform the benchmark has been well documented in the literature. However, the empirical findings are mixed.…”

Section: Introductionmentioning

confidence: 99%

Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds

Zouaoui

2019

IJFS

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This paper empirically compares the market timing, the stock selection and the performance persistence of Islamic and conventional HSBC Saudi mutual funds by using monthly returns from April 2011 to December 2018. The data was grouped into five portfolios based on geographical investment basis (locally, Arab, internationally) and Sharia compliance (Islamic and conventional). The empirical results indicate that Islamic funds underperformed conventional funds internationally but not locally. Findings suggest that the market selectivity skills of managers in the Islamic funds are better than the conventional funds. In addition, only the managers of Saudi conventional funds investing internationally have a good market timing skills, thus, they are able to beat the market index by predicting its movements and buying and selling accordingly. Furthermore, this study gives a brief idea about the performance persistence of HSBC Saudi funds. The results confirm existence of the persistence performance when the funds do not apply Sharia law and when they are instead focused internationally.

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Section: Introductionmentioning

confidence: 99%

Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds

Zouaoui

2019

IJFS

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“…Oleh karena itu, tidak hanya kemampuan manajer investasi dalam memilih saham yang dinilai, tetapi juga efek sekuritas lainnya seperti obligasi dan lain-lain. Menurut Oliveira et al, (2018), tingkat kinerja reksadana yang unggul dapat dicapai jika manajer investasi meningkatkan kemampuan dalam memilih efek sekuritas dan strategi antisipasi pasar. Namun, fakta yang diperoleh peneliti bertolak belakang dengan teori tesebut.…”

Section: Pendahuluanunclassified

Pengaruh Portfolio Turnover dan Stock Selection Skill Terhadap Kinerja Reksadana Campuran di Indonesia

Azis

Sadaruddin

2023

j. manaj. sains dan organ.

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Tujuan - Penelitian ini bertujuan untuk menganalisis dan mengetahui pengaruh portfolio turnover dan stock selection skill terhadap kinerja reksadana pada perusahaan reksadana campuran di Indonesia tahun 2018-2020. Desain/Methodologi/Pendekatan - Alat analisis yang digunakan dalam penelitian ini adalah deskriptif statistik dan regresi data panel. Teknik penarikan sampel menggunakan teknik purposive sampling yaitu sebanyak 38 perusahaan reksadana campuran. Temuan penelitian - Hasil penelitian menunjukkan bahwa portfolio turnover berpengaruh positif dan tidak signifikan terhadap kinerja reksadana dan stock selection skill berpengaruh positif dan signifikan terhadap kinerja reksadana. Orsinalitas/nilai – Pada penelitian ini menggunakan objek reksadana campuran di Indonesia dimana perusahaan tersebut masih minim untuk diteliti terutama pada variabel portfolio turnover, stock selection skill, dan kinerja reksadana

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“…Chang and Lewellen (1984), also stated that mutual funds in the US were superior in market timing ability only which contributed a positive effect in return. However, Oliveira et al (2019), found that European fund managers had poor superior in market timing abilities and stock selection. Meanwhile, Ashraf (2013), found that the Saudi Arabian Islamic Mutual Funds (IMF) was only superior in stock selection but not in market timing from 2007 until 2010.…”

Section: Literature Reviewmentioning

confidence: 99%

Market Timing and Stock Selection Strategies in Shariah- Compliant Stock Portfolio

Halim¹,

Elias²,

Kamil³

2021

JSSH

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This study focuses on market timing and stock selection strategies that could be implemented by individual investors of Shariah-compliant equity using the top ten constituents of the FTSE Bursa Malaysia Hijrah Shariah Index. Investors are assumed to enter and exit the stock market following the buy-and-sell signal from Moving Average Crossover. Meanwhile, for stock selection, this study aims to construct the optimal portfolio using the Sharpe Ratio Maximisation model and Naïve (1/N) portfolio. The level of market timing and selectivity skills of individual investors following the suggested investment strategies will be measured by using the Treynor-Mazuy model. The empirical results showed that the best Moving Average Crossover gave plausible trading frequencies and provided the most return to investors was the (1, 100, 0.01) strategy. Albeit, the stock allocation for the constructed portfolio was less diversified compared to the Naïve (1/N) portfolio, the composition of portfolio weights of the constructed portfolio was able to offer a more than average risk to reward ratio. Furthermore, in the out-of-sample framework, both portfolios outperformed the market benchmark. Unlike previous studies, this study backed tests the strategy and found that it was beneficial for individual investors of Shariah-compliant equities to enhance market timing and selectivity skills in stock investment.

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Market Timing and Selectivity: An Empirical Investigation of European Mutual Fund Performance

Cited by 9 publications

References 38 publications

Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds

Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds

Pengaruh Portfolio Turnover dan Stock Selection Skill Terhadap Kinerja Reksadana Campuran di Indonesia

Market Timing and Stock Selection Strategies in Shariah- Compliant Stock Portfolio

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