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Market Timing and Mutual Fund Investment Performance
Eric C. Chang and Wilbur G. Lewellen
The Journal of Business
Vol. 57, No. 1, Part 1 (Jan., 1984), pp. 57-72
Published by: The University of Chicago Press
Stable URL: http://www.jstor.org/stable/2352888
Page Count: 16
You can always find the topics here!Topics: Mutual funds, Portfolio management, Financial investments, Financial portfolios, Investment portfolios, Securities management, Investment funds, Investment return rates, Least squares, Portfolio investments
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The parametric statistical procedure recently developed by Henriksson and Merton to test jointly for the presence of either superior market timing or security selection ability in managed portfolios is employed to evaluate empirically the investment performance of a sample of mutual funds. This procedure and the associated findings are compared with those of prior investment performance evaluations. The new technique produces a more favorable judgment about mutual fund security selection performance in the aggregate, and it alters the performance evaluations of various individual funds. Nonetheless, few fund managers appear to have displayed much market-timing skill, and the general conclusion that they have been unable collectively to outperform a passive investment strategy still seems valid.
The Journal of Business © 1984 The University of Chicago Press