Can mutual funds time risk factors?
Using daily observations from 448 actively managed funds, we employ the methodology in Bollen and Busse (2001) in order to assess the ability of fund managers to time systematic risk factors. We first construct synthetic portfolios in order to obtain the empirical distribution of timing coefficients...
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| Veröffentlicht in: | The Quarterly review of economics and finance 2010-11, Vol.50 (4), p.509-514 |
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| container_title | The Quarterly review of economics and finance |
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| creator | Benos, Evangelos Jochec, Marek Nyekel, Victor |
| description | Using daily observations from 448 actively managed funds, we employ the methodology in
Bollen and Busse (2001) in order to assess the ability of fund managers to time systematic risk factors. We first construct synthetic portfolios in order to obtain the empirical distribution of timing coefficients under the null hypothesis of no timing ability and then compare this distribution to that of the timing coefficients of the actual funds. Fund managers do not seem to be timing any of the risk factors. We interpret this result as evidence that factor timing ability does not persist over long time periods. |
| doi_str_mv | 10.1016/j.qref.2010.05.001 |
| format | Article |
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Bollen and Busse (2001) in order to assess the ability of fund managers to time systematic risk factors. We first construct synthetic portfolios in order to obtain the empirical distribution of timing coefficients under the null hypothesis of no timing ability and then compare this distribution to that of the timing coefficients of the actual funds. Fund managers do not seem to be timing any of the risk factors. We interpret this result as evidence that factor timing ability does not persist over long time periods.</abstract><cop>Greenwich</cop><pub>Elsevier Inc</pub><doi>10.1016/j.qref.2010.05.001</doi><tpages>6</tpages></addata></record> |
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| identifier | ISSN: 1062-9769 |
| ispartof | The Quarterly review of economics and finance, 2010-11, Vol.50 (4), p.509-514 |
| issn | 1062-9769 1878-4259 |
| language | eng |
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| source | RePEc; Elsevier ScienceDirect Journals |
| subjects | Factor timing Investment advisors Market timing Mutual funds Portfolio management Risk factors Risk factors Mutual funds Market timing Factor timing Studies |
| title | Can mutual funds time risk factors? |
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