Mutual fund performance attribution and market timing using portfolio holdings

Andreu, L. (Universidad de Zaragoza) ; Matallín-Sáez, J.C. ; Sarto, J.L. (Universidad de Zaragoza)

Resumen: 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.

Idioma: Inglés

DOI: 10.1016/j.iref.2018.02.003

Año: 2018

Publicado en: INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 57 (2018), 353-370
ISSN: 1059-0560

Factor impacto JCR: 1.432 (2018)

Categ. JCR: ECONOMICS rank: 156 / 363 = 0.43 (2018) - Q2 - T2
Categ. JCR: BUSINESS, FINANCE rank: 57 / 103 = 0.553 (2018) - Q3 - T2

Factor impacto SCIMAGO: 0.772 - Finance (Q1) - Economics and Econometrics (Q1)

Financiación: info:eu-repo/grantAgreement/ES/MEC/ECO2014-55221-P
Financiación: info:eu-repo/grantAgreement/ES/MINECO/ECO2013-45568-R

Tipo y forma: Article (PostPrint)

Área (Departamento): Área Economía Finan. y Contab. (Dpto. Contabilidad y Finanzas)