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An Empirical Investigation of the Performance of Japanese Mutual Funds: Skill or Luck?

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  • Keith Pilbeam

    (Department of Economics, City, University of London, Northampton Square, London EC1V 0HB, UK)

  • Hamish Preston

    (S&P Dow Jones Indices, 55 Water Street, New York, NY 1004, USA)

Abstract

This paper assesses the performance of 355 actively managed Japanese Equity Mutual Funds between April 2011 and April 2016. The equal weight portfolio and Jensen’s alpha measures of active management provide strong evidence that Japanese Mutual Funds fail to outperform the benchmark four-factor capital asset pricing model. When it comes to market timing, the Treynor and Mazuy measure shows that 33 funds have significant positive market timing ability which is largely offset by 31 funds with significant negative timing ability. To ensure the statistical inference is robust to the non-normality found in 33 funds we employ Fama and French’s cross-sectional bootstrap. The results show that a large proportion of funds fail to outperform a hypothetical world with no skill. On the persistence of skill we find that there is stronger persistence for poor performing funds than for strong performing funds.

Suggested Citation

  • Keith Pilbeam & Hamish Preston, 2019. "An Empirical Investigation of the Performance of Japanese Mutual Funds: Skill or Luck?," IJFS, MDPI, vol. 7(1), pages 1-16, January.
    • Handle: RePEc:gam:jijfss:v:7:y:2019:i:1:p:6-:d:198648
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    References listed on IDEAS

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    2. Birau Ramona & Filip Robert Dorin & Lupu (Filip) Gabriela Ana Maria & Simion Mircea Laurentiu & Florescu Ion, 2023. "An Empirical Analysis Regarding The Behavior Of The Asian Stock Markets Under The Impact Of Turbulent Events: A Case Study For Japan," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 5, pages 90-98, October.
    3. Dorota Żebrowska-Suchodolska & Andrzej Karpio, 2022. "Study of the Skills of Balanced Fund Managers in Poland," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 16(2), June.

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