Mutual fund performance attribution and market timing using portfolio holdings
Scholar | Other documents of the author: Andreu, Laura; Matallín Sáez, Juan Carlos; Sarto Marzal, José Luis
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TitleMutual fund performance attribution and market timing using portfolio holdings
We propose a novel performance attribution model for equity fund portfolios. The model analyses investment decisions based on portfolio holdings and measures the value added from different sources of performance such ... [+]
We propose a novel performance attribution model for equity fund portfolios. The model analyses investment decisions based on portfolio holdings and measures the value added from different sources of performance such as past return strategies, security selection, market timing and passive timing. The model was tested for a sample of mutual funds. Empirical results show that security selection is the main contributor to fund performance regardless of the sample period considered or the asset pricing model used. The evidence of timing ability is mixed with low significance. Nevertheless there are noticeable differences between the timing ability of the best and worst performing funds, especially in crisis periods. Analysing the relationship between mutual fund performance (and its different components) and fund characteristics, we find that top funds are significantly smaller and more concentrated than other funds. Finally, we also examine the persistence in the performance and in its components finding evidence of positive persistence in past return strategies and picking skills although this persistence is not shown in the overall performance. [-]
Investigation projectSpanish Ministerio de Ciencia e Innovación (ECO2013-45568-R) ; Spanish Ministerio de Economía y Competitividad (ECO2014-55221-P)
Bibliographic citationANDREU, Laura; MATALLÍN-SÁEZ, Juan Carlos; SARTO, José Luis. Mutual fund performance attribution and market timing using portfolio holdings. International Review of Economics & Finance, 2018.
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