Mutual fund performance attribution and market timing using portfolio holdings

Tests of Market Timing and Mutual Fund Performance

Do Mutual Funds Time the Market? Evidence from Portfolio Holdings

Existing literature has found no evidence of market-timing ability by mutual funds using tests based on fund returns. This paper proposes alternative market-timing tests based on observed fund holdings. The holdings-based measures are shown to be more powerful than the return-based measures, and are not subject to “artificial timing” bias. Applying the holdings-based tests, we find strong evide...

An Examination of Mutual Fund Timing Ability Using Monthly Holdings Data

In this paper, the authors use monthly holdings to study timing ability. These data differ from holdings data used in previous studies in that the authors data have a higher frequency and include a full range of securities, not just traded equities. Using a one-index model, the authors find, as do two recent studies, that management appears to have positive and statistically significant timing ...

On the Concentration of Mutual Fund Portfolio Holdings - Skills or Overconfidence?

This paper tests the alternative hypotheses of investment selection skills versus overconfidence of fund managers among equity mutual funds in Taiwan. We find a positive relation between fund holdings’ concentration level and risk-adjusted fund performance in the bull market, but a negative relation in the bear markets. The time varying concentration-performance relation is not driven by the fu...

Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings

This paper examines the ability of government bond fund managers to time the market, based on their holdings of Treasury securities during the period 1997-2006. We find that, on average, government bond fund managers exhibit significant and positive timing ability at the one-month horizon, under a holdings-based timing measure. In particular, fund managers specializing in Treasury securities ar...