Essays about: "Market Timing of Mutual Fund Managers"

Showing result 1 - 5 of 6 essays containing the words Market Timing of Mutual Fund Managers.

1. 1. What Are the Effects of Security Selection and Market Timing on Mutual Fund Performance? A Study of Portfolio Returns and Manager Activity in Sweden

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Marcus Klinga; Henrik Larsson; [2016]
   Keywords : Mutual Fund Activity; Tracking Error; Security Selection; Market Timing;

   Abstract : We study the activity of Swedish equity mutual funds by splitting fund manager activity into two different components: market timing and security selection. This is done through a decomposition of the Tracking Error, a method that requires data of the portfolio and index returns exclusively. No portfolio holdings data is needed. READ MORE

3. 2. Good For Goodness Sake? An evaluation of the performance of ethical funds in Sweden

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Linn Egeland; Linnea Jahnson; [2015]
   Keywords : Performance evaluation; Ethical investments; Mutual funds; Socially responsible investing;

   Abstract : Using a survivorship-bias free dataset, the fund performance and market timing of 95 Swedish ethical mutual funds and 237 conventional mutual funds between 2004 and 2014 is compared in order to investigate if there is an additional cost associated with ethical investments. For the evaluation of fund performance the CAPM single-index model as well as the Carhart (1997) 4-factor model is applied. READ MORE

4. 3. Active Share in the Swedish Premium Pension System : A Study on Mutual Fund Activity and Performance

   University essay from Företagsekonomi

   Author : Andreas Rönngren; Ding Xu; [2013]
   Keywords : Active Share; tracking error volatility; tracking error; fund performance; alpha; Swedish funds; fund return; mutual equity funds; CAPM; three-factor model; four factor model; pension; Swedish pension system; premium pension; Swedish premium pension system;

   Abstract : We investigate the activity and performance of 64 Swedish registered mutual equity funds available in the Swedish Premium Pension System from October 2002 to December 2011. Fund activity is measured by applying the holdings based analysis Active Share combined with Tracking Error Volatility (TEV). READ MORE

5. 4. Risk Shifting and Mutual Fund Performance: A Swedish Perspective

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Johan Riben; Martin Gustavsson; [2012]
   Keywords : Risk Shifting; Fund Performance; Tracking Error; CAPM; Fama-French;

   Abstract : This thesis examines the performance consequences of risk shifting in mutual funds on the Swedish market between the years 2000-2011. By constructing a risk shifting measure based on tracking error volatility, we conclude that the funds that increase risk the most have experienced better performance than funds which decrease or keep stable risk levels over the sample period. READ MORE

6. 5. China-focused Mutual Funds: A Study of Performance, Selectivity and Market Timing

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Amanda Ulfsdotter; Rebecca Samuelsson; [2011]
   Keywords : mutual funds; selectivity; market timing; unconditional models; conditional models;

   Abstract : This study examines the performance of 36 China-focused mutual funds advertised and sold in Sweden. We use Jensen's alpha, the Treynor-Mazuy model and the Henriksson-Merton model in order to evaluate overall performance, stock selection abilities and market timing skills of the fund managers. READ MORE