Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination

Fabozzi, C.F.A. Frank J.; Francis, Jack Clark

doi:10.1111/j.1540-6261.1979.tb00069.x

Cited by 101 publications

(50 citation statements)

References 17 publications

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“…Menkhoff and Schmidt (2005) found that most fund managers rely on the buy-and-hold strategy, as such they do not shift their exposure Treynor and Mazuy (1966) and Fabozzi and Francis (1979) who found that fund managers did not reduce (increase) the funds' in down (up) market conditions to earn higher returns.…”

Section: Regime Coefficientsmentioning

confidence: 96%

An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach

Roca

Wong

2008

Applied Financial Economics

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This article investigates the sensitivity of Australian superannuation funds in relation to equity and bond markets. In particular, it examines the extent, speed and duration of response of the Australian superannuation funds's returns to movements in the US and Australian equity and bond markets when fund returns are in the up, normal and down regimes, through the application of Markov regime switching analysis. The results reveal that Australian superannuation funds's returns are most affected by movements in the US equity market, followed by the Australian equity market then by the US bond market. Funds's returns are not influenced at all by movements in the Australian bond market. They respond quickly and briefly to market movements irrespective of whether funds returns are in a down, normal or up state. Funds's returns move positively with the US equity market under all states or regimes of funds returns but most especially during the down regime. They are influenced by the Australian equity market only during the normal regime and by the US bond market only during the up regime. In line with those of previous studies, these results imply that Australian superannuation funds are not able to time their exposure to markets and that their performance is indicative of an efficient market.

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Section: Regime Coefficientsmentioning

confidence: 96%

An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach

Roca

Wong

2008

Applied Financial Economics

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“…Thus, our analysis neither suffers from discontinuities between down periods, that preclude any analysis of persistence, nor from arbitrarily chosen definitions of a bear market, as Fabozzi and Francis (1979), Kao et al (1998), Rao (2001), Edwards and Caglayan (2001) and Liang (2003).…”

Section: Introductionmentioning

confidence: 99%

Hedge Fund Performance and Persistence in Bull and Bear Markets

Capocci

Corhay

Hübner³

2003

SSRN Journal

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This paper tests the performance of 2894 hedge funds in a time period that encompasses unambiguously bullish and bearish trends whose pivot is commonly set at March 2000. The database proves to be fairly trustable with respect to the most important biases in hedge funds studies, despite the high attrition rate of funds observed in the down market. An original ten-factor composite performance model is applied that achieves very high significance levels. The analysis of performance indicates that most hedge funds significantly outperformed the market during the whole test period, mostly thanks to the bullish subperiod. In contrast, no significant underperformance of individual hedge funds strategies is observed when markets headed south. The analysis of persistence yields very similar results, with most of the predictability being found among middle performers during the bullish period. However, the 'Market Neutral' strategy represents a remarkable exception, as abnormal performance is sustained throughout and significant persistence can be found between the 20% and 69% best performers in this category, probably thanks to an extreme adaptability and a very active investment behaviour.

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“…age (e.g., Fabozzi & Francis, 1979;Fama, 1965), suggesting that experts are susceptible to judgmental biases.…”

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confidence: 99%

Effects of framing and missing information in expert and novice judgment

Loke

Tan

1992

Bull. Psychon. Soc.

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We examined the effects of framing and missing information in experts and novices. The present study attempted to show the effect of framing, examined whether experts are less affected by the framing effect than are novices, and examined the differences between experts and novices in the way they respond to complete and missing information. A gambling task was used in which subjects rated their likelihood of taking a gamble on the basis of payoff or chance information, or both. Results showed a significant framing effect; that is, subjects are more likely to take a gamble if it is framed positively than if it is framed negatively. We found that experts and novices are similarly affected by framing but that novices attach more weight to chance information than do experts. Overall, analyses showed no significant difference in the way experts and novices respond to complete and incomplete information.

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Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination

Cited by 101 publications

References 17 publications

An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach

An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach

Hedge Fund Performance and Persistence in Bull and Bear Markets

Effects of framing and missing information in expert and novice judgment

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