Reference : Evaluating Portfolio Performance: Reconciling Asset Selection and Market Timing
Parts of books : Contribution to collective works
Business & economic sciences : Finance
http://hdl.handle.net/2268/118523
Evaluating Portfolio Performance: Reconciling Asset Selection and Market Timing
English
Cavé, Arnaud []
Hübner, Georges mailto [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > Gestion financière >]
Lejeune, Thomas mailto [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > Gestion financière >]
2013
Portfolio Theory and Management
Baker, H. Kent
Filbeck, Georges
Oxford University Press
467-489
Yes
[en] This chapter examines the performance measurement of mutual funds when both security selection and market timing management skills are considered. In an option replication approach, linear and quadratic coefficients of the Treynor and Mazuy regression are combined to assess performance in presence of market timing. This new correction has the potential to overcome the “artificial timing” bias and delivers particularly encouraging results on a sample of 1,413 U.S. mutual funds selected for an empirical analysis. Unlike alternative approaches proposed in the literature, most of positive market timers seem to be rewarded for the convexity they add to their portfolio, while negative market timers are penalized, and a correlation between abnormal performance and the convexity parameter is found.
Researchers ; Professionals ; Students
http://hdl.handle.net/2268/118523

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