The forecasting ability of world mutual funds
Javier Rodriguez
Studies in Economics and Finance, 2014, vol. 31, issue 2, 130-140
Abstract:
Purpose - – The paper aims to empirically examine the forecasting ability of US-based world mutual funds during the 2001-2007 time period. Design/methodology/approach - – World mutual funds are treated as portfolios composed of two sets of securities, i.e. domestic and foreign and two methodologies are used to measure forecasting ability: domestic differential exposure and assertion rates. Domestic differential exposure is based on the difference between each fund exposure to the domestic market when it is the outperforming market and the portfolio exposure to the domestic market when the foreign market is outperforming. Similar to the differential exposure, assertion rates measure the ability of fund managers to pick, on a monthly basis, an outperforming market. Findings - – Although changing economic conditions in both domestic and foreign markets provided plenty of opportunities to outperform market benchmarks, the results of two empirical tests reveal that fund managers fail to effectively manage their exposure to both markets. Some evidence of good forecasting ability is found when funds are examined on a yearly basis. Originality/value - – This study provides the first implementation of both methodologies: domestic differential exposure and assertion rates, to examine global funds.
Keywords: Market timing; Forecasting ability; Portfolio evaluation (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:
Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eme:sefpps:v:31:y:2014:i:2:p:130-140
DOI: 10.1108/SEF-11-2012-0126
Access Statistics for this article
Studies in Economics and Finance is currently edited by Prof Niklas Wagner
More articles in Studies in Economics and Finance from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().