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On the timing of managed funds’ industry exposure
Journal of Economic & Financial Studies
View Archive Info| Field | Value | |
| Title |
On the timing of managed funds’ industry exposure
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| Creator |
Sawicki, Julia
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| Subject |
G23 ; L0.
Managed funds; Market timing; Performance evaluation; Sector rotation. Finance; Managed fund |
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| Description |
An important source of performance for active managers is industry weighting, yet this is neglected by the performance evaluation literature. Most market timing studies are conducted at a broad level, assessing exposure to equities as an asset class. This paper investigates the ability of US equity fund managers to time industry performance. The results indicate that, as a group, the funds exhibit no timing skills, with positive timing as frequent as negative timing. There is a subset of funds however, that appear to have strong forecasting abilities, correctly timing industries that are otherwise poorly timed by most fund managers. General timing ability is weakest in the Finance, Cyclical Services and Information Technology industries, while Consumer Goods industries show the best timing results.
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| Publisher |
LAR Center Press
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| Contributor |
—
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| Date |
2017-01-15
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://journalofeconomics.org/index.php/site/article/view/263
10.18533/jefs.v5i01.263 |
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| Source |
Journal of Economic & Financial Studies; Vol 5, No 01 (2017): February; 16-22
2379-9471 2379-9463 |
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| Language |
eng
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| Relation |
http://journalofeconomics.org/index.php/site/article/view/263/309
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| Rights |
Copyright (c) 2017 Julia Sawicki
http://creativecommons.org/licenses/by/4.0 |
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