Selectivity and Market Timing Ability of Mutual Fund Houses in Emerging Countries

Atta, Anas Ahmad Bani; Marzuki, Ainulashikin

doi:10.32890/ijbf2021.16.1.2

Cited by 3 publications

(2 citation statements)

References 27 publications

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“…Mutual fund size influences its performance because it relates to the market capitalization portion (Ayu & Asriwahyuni, 2017), and positively affect the mutual fund's performance (Pratama & Wirama, 2018). The large fund quantity can create less company risk and vice versa (Elton et al, 2014), can diversify some assets (Budiono & Musdalifah, 2020), can increase the fund's performance (Bani Atta & Marzuki, 2021), and optimize expected return (Lailiyah & Setiawan, 2020). H3: Mutual fund size positively affects the mutual fund's performance.…”

Section: Hypotheses Developmentmentioning

confidence: 99%

“…Furthermore, a fund size with few assets under management is called small funds and this fund can invest in small stocks called "small-cap funds" (Chen et al, 2004). Fund size can increase the equity fund performance (Bani Atta & Marzuki, 2021), but it could decrease mutual fund performance (Agustin et al, 2022) at the same time. As a disruption factor, Covid-19 increased liquidity risk and reduced return (Szymczyk et al, 2022), and identified that Covid-19 cannot moderate the effect of market timing on equity fund performance (Ariswati et al, 2021).…”

Section: Introductionmentioning

confidence: 99%

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Stock Selection and Market Timing Ability to Increase Indonesia's Equity Mutual Fund Performance

Sihombing,

Manurung,

Zakchona

2023

J. Keuang. dan Perbank.

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This study investigates the effect of stock selection, market timing, and fund size on the mutual fund’s performance with Covid-19 as a moderating variable. The sample data is limited to the listed conventional mutual funds supervised by the financial service authorization from 2014 to 2021, denominated in Rupiah currency, have a complete report, and have more than Rp 350 billion in fund equities. The sample data implements twenty-eight of the listed conventional mutual funds and is examined by a random method of Panel data multi-regression with moderated regression analysis (MRA). The result shows that market timing positively affects, and Covid-19 can enhance the effect of stock selection on the mutual fund’s performance. Meanwhile, stock selection, fund size, and Covid-19 do not affect the mutual fund’s performance. Covid-19 cannot moderate the effect of market timing and fund size on the mutual fund’s performance. Fund managers highlight market timing as a crucial indicator of obtaining more returns, and Covid-19 is the best moment to select and collect potential stock at affordable prices and trade them to get more returns after the crisis. DOI: 10.26905/jkdp.v27i4.11047

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Section: Hypotheses Developmentmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Stock Selection and Market Timing Ability to Increase Indonesia's Equity Mutual Fund Performance

Sihombing,

Manurung,

Zakchona

2023

J. Keuang. dan Perbank.

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An empirical evaluation of the performance of Nigerian pension fund managers

Ajadi

2024

AJEMS

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PurposeThis paper evaluates the risk-adjusted returns, selectivity, market timing skills and persistence of the performance of Nigerian pension funds.Design/methodology/approachAnnual return data of 23 pension funds that operated in Nigeria between 2018 and 2022 were obtained from the National Pension Commission (PenCom). Risk-adjusted return was appraised using the Treynor ratio, Sharpe ratio and Jensen alpha, while the Treynor–Mazuy and Henriksson–Merton multiple regression models were applied to decompose selective and timing skills. Performance persistence was assessed using the contingency table and rank correlation models.FindingsEvidence shows that pension funds deliver excess risk-adjusted returns and exhibit selective skills. However, the evidence does not support the presence of timing skills, and there is overwhelming evidence that good (bad) performance does not repeat.Practical implicationsAn evaluation of the investment performance of pension funds is crucial for ensuring the financial stability of retirees, maintaining economic stability and making informed investment decisions. It serves the interests of pensioners, pension fund managers, regulators and the broader economy. Our evidence that pension funds generate positive excess returns is a departure from most of the literature on managed funds. We recommend that more Nigerians should leverage the pension fund industry to grow their wealth and prepare for retirement.Originality/valueThis study, to our knowledge, is the first to appraise all the key facets of the investment performance of pension funds in the Nigerian context.

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Selective and Market Timing Skills: An Empirical Evaluation of Equity Mutual Funds in an Emerging Market

D. A.

2024

African Journal of Accounting and Financial Research

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This study evaluates the selective and market timing skills of mutual funds managers using monthly net asset values of all 30 actively managed equity-based funds that operated from January 2012 to December 2021 obtained from the Securities and Exchange Commission. Selectivity is the ability to search for and choose undervalued securities to exploit the sub-optimal market weights of securities, while market timing is the ability to forecast the direction of the market and adjust portfolio betas to generate alpha. Two regression models, namely the Treynor-Mazuy (1966) and Henriksson-Merton (1981) were deployed for the study. The findings indicate that mutual funds did not exhibit significant selective skills or market timing abilities. This outcome is consistent with the Efficient Market Hypothesis (EMH). Consequently, it becomes challenging for investors or fund managers to consistently outperform the market through stock selection or market timing. Based on the study's results, the recommendation for investors is to consider low-cost passive investment strategies, such as index funds or exchange-traded funds (ETFs), over actively managed funds.

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Selectivity and Market Timing Ability of Mutual Fund Houses in Emerging Countries

Cited by 3 publications

References 27 publications

Stock Selection and Market Timing Ability to Increase Indonesia's Equity Mutual Fund Performance

Stock Selection and Market Timing Ability to Increase Indonesia's Equity Mutual Fund Performance

An empirical evaluation of the performance of Nigerian pension fund managers

Selective and Market Timing Skills: An Empirical Evaluation of Equity Mutual Funds in an Emerging Market

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