Volatility Timing in Mutual Funds: Evidence from Daily Returns

The Performance of Thai Mutual Funds: A 5-Star Morningstar Mutual Fund Rating

“…Reference [15] agreed with the previous paper, [14], that more volatile performance provided a noisier signal, and reduced the flow-performance sensitivity. This paper differs from past articles on funds' performance.…”

“…Reference [14] agreed with the study. He studied that volatility is an important factor in the returns of the mutual funds, and has led to higher risk-adjusted returns.…”

Winners and losers: German equity mutual funds

“…Successful market timing involves fund managers increasing (decreasing) their fund's market-beta in anticipation of an increase (decrease) in market returns. Evidence for successful market timing in both parametric and nonparametric studies has been found (for the US see for example, Treynor and Mazuy 1966, Henriksson and Merton 1981, Ferson and Schadt 1996, Busse 1999, Becker et al 1999 There has been little work done on analysing the performance of the German mutual fund industry, in particular regarding the market timing ability of fund managers. Although the German mutual fund industry is small compared to the US, it has seen substantial growth over the last 15 to 20 years and its assets under management peaked in 2007 at $372bn, but then dropped to $237bn at end of 2008.…”

The Market-Timing Ability of Chinese Equity Securities Investment Funds

“…Busse (1999) finds that, when the market is volatile, fund managers attempt to lower the portfolio beta. As a volatility timer may reduce the portfolio beta, i.e., the fund's market exposure, when s/he anticipates that market volatility will rise, the market-timing measure may underestimate her/his timing performance if there is a positive correlation between market volatility and market return.…”

“…As a volatility timer may reduce the portfolio beta, i.e., the fund's market exposure, when s/he anticipates that market volatility will rise, the market-timing measure may underestimate her/his timing performance if there is a positive correlation between market volatility and market return. Some studies, on the other hand, suggest that this issue should not complicate the assessment of market timing even in the presence of volatility timing, by providing the evidence of weak correlation between market volatility and return (Breen et al 1986;Glosten et al 1993;Busse 1999).…”