IDEAS home Printed from https://ideas.repec.org/p/fam/rpseri/rp27.html
   My bibliography  Save this paper

On Swiss Timing and Selectivity: In the Quest of Alpha

Author

Listed:
  • François-Serge LHABITANT

    (HEC-University of Lausanne and Thunderbird, The American Graduate School of International Management)

Abstract

This paper presents an overview of the theories underlying the major portfolio performance measurement models, with an empirical application to assess the market timing and stock-picking abilities of an exhaustive sample of 60 Swiss-equity investment funds over the 1977-1999 period. Regardless of the benchmark portfolio or the performance measurement model, we find no evidence that Swiss-equity mutual funds, either individually or as a whole, provide investors with superior stock selection or market timing relative to a passively managed benchmark portfolio. We also found a negative correlation between selectivity and timing results. Finally, the influence of asset size, funds age and management fees are considered as an explanation of the results.

Suggested Citation

  • François-Serge LHABITANT, 2001. "On Swiss Timing and Selectivity: In the Quest of Alpha," FAME Research Paper Series rp27, International Center for Financial Asset Management and Engineering.
    • Handle: RePEc:fam:rpseri:rp27
    as

    Download full text from publisher

    File URL: http://www.swissfinanceinstitute.ch/rp27.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Galatis Nikolaos & Nitsi Ekaterini & Theloura Chrysoula, 2020. "Investigating Financial Performance of Low-and High-Rated ETFs During the QE-Tapering," HOLISTICA – Journal of Business and Public Administration, Sciendo, vol. 11(1), pages 107-123, April.
    2. Peter Gomber & Peter Rohr & Uwe Schweickert, 2008. "Sports betting as a new asset class—current market organization and options for development," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 22(2), pages 169-192, June.
    3. Fernando Mu�oz & Ruth Vicente & Luis Ferruz, 2015. "Stock-picking and style-timing abilities: a comparative analysis of conventional and socially responsible mutual funds in the US market," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 345-358, February.
    4. Luis Ferruz & Fernando Munoz & Maria Vargas, 2010. "Correcting the Merton and Henriksson timing model," Applied Economics Letters, Taylor & Francis Journals, vol. 17(12), pages 1183-1187.
    5. Akshatha Suvarna, 2022. "Timing and Selectivity Performance of Mutual Fund Managers: Application of Conditional Models to Indian Equity Diversified Mutual funds," Jindal Journal of Business Research, , vol. 11(1), pages 81-98, June.
    6. Manuel Ammann & Michael Steiner, 2009. "The Performance of Actively and Passively Managed Swiss Equity Funds," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 145(I), pages 1-36, March.
    7. Luis Ferruz & Fernando Muñoz & Maria Vargas, 2010. "Does the size of a fund family matter when choosing an investment strategy? Evidence from spain," Review of Quantitative Finance and Accounting, Springer, vol. 35(3), pages 315-334, October.
    8. Olaf Stotz & Gabrielle Wanzenried & Karsten Döhnert, 2010. "Do fundamental indexes produce higher risk-adjusted returns than market cap indexes? Evidence for European stock markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(3), pages 219-243, September.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fam:rpseri:rp27. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ridima Mittal (email available below). General contact details of provider: https://edirc.repec.org/data/fameech.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.