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Journal Article

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
Stable URL: http://www.jstor.org/stable/2352888
Page Count: 16
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Market Timing and Mutual Fund Investment Performance
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Abstract

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.

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