Can mutual funds time investment styles?

Laurens Swinkels and Liam Tjong-A-Tjoe

Journal of Asset Management, 2007, vol. 8, issue 2, No 6, 123-132

Abstract: Abstract We investigate the ability of mutual fund managers to successfully rotate between investment styles based on characteristics such as market capitalisation, valuation ratios, and price momentum. We find evidence in favour of market timing among a group of 153 US-based mutual funds with a Morningstar Midcap/Blend investments style. We also find evidence in favour of mutual funds being able to predict the direction of the valuation and momentum style returns, but not their magnitude. Our results indicate that the mutual funds in our sample were not able to rotate successfully between stocks with small and large market capitalisation.

Keywords: mutual funds; performance evaluation; style timing (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (21)

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DOI: 10.1057/palgrave.jam.2250066

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