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On the timing of managed funds’ industry exposure

Author

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  • Julia Sawicki

    (Nanyang Business School, Nanyang Technological University.)

Abstract

An important source of performance for active managers is industry weighting, yet this is neglected by the performance evaluation literature. Most market timing studies are conducted at a broad level, assessing exposure to equities as an asset class. This paper investigates the ability of US equity fund managers to time industry performance. The results indicate that, as a group, the funds exhibit no timing skills, with positive timing as frequent as negative timing. There is a subset of funds however, that appear to have strong forecasting abilities, correctly timing industries that are otherwise poorly timed by most fund managers. General timing ability is weakest in the Finance, Cyclical Services and Information Technology industries, while Consumer Goods industries show the best timing results. Classification JEL: G23 ; L0.

Suggested Citation

  • Julia Sawicki, 2017. "On the timing of managed funds’ industry exposure," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 5(1), pages 16-22, February.
    • Handle: RePEc:lrc:lareco:v:5:y:2017:i:1:p:16-22
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    References listed on IDEAS

    as
    1. George Comer, 2006. "Hybrid Mutual Funds and Market Timing Performance," The Journal of Business, University of Chicago Press, vol. 79(2), pages 771-798, March.
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    More about this item

    Keywords

    Managed funds; Market timing; Performance evaluation;
    All these keywords.

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • L0 - Industrial Organization - - General

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