Multi-asset class mutual funds: Can they time the market? Evidence from the US, UK and Canada

Andrew Clare, Meadhbh Brid Sherman and Steve Thomas

Research in International Business and Finance, 2016, vol. 36, issue C, 212-221

Abstract: The importance of asset allocation decisions in wealth management is well established. However, given its importance it is perhaps surprising that so little attention has been paid to the question of whether professional fund managers are skilful at timing market movement across asset classes over time. The timing literature has tended to concentrate on the timing skill of single asset class funds. Using data on US, UK and Canadian multi-asset class funds, we apply two alternative methodologies to identify the asset class timing abilities of managers. Overall, whether we apply a returns-based method or a holdings-based testing approach, we find evidence of only a tiny minority of funds with asset class timing ability.

Keywords: Market timing; Asset allocation; Multi-asset funds (search for similar items in EconPapers)
JEL-codes: G0 G11 G15 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:36:y:2016:i:c:p:212-221

DOI: 10.1016/j.ribaf.2015.09.011

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