Can Mutual Funds Time Investment Styles?

13 Pages Posted: 26 Jul 2007

See all articles by Laurens Swinkels

Laurens Swinkels

Erasmus University Rotterdam (EUR); Robeco Quantitative Investments

Liam Tjong-A-Tjoe

Erasmus University Rotterdam (EUR)

Multiple version iconThere are 2 versions of this paper

Date Written: October 2006

Abstract

We investigate the ability of mutual fund managers to successfully rotate between investment styles based on characteristics such as market capitalization, valuation ratios, and price momentum. We find evidence in favor of market timing among a group of 153 US-based mutual funds with a Morningstar Midcap/Blend investments style. We also find evidence in favor of mutual funds being able to predict the direction of the valuation and momentum style returns, but not their magnitude. Our results indicate that the mutual funds in our sample were not able to rotate successfully between stocks with small and large market capitalization.

Keywords: Mutual funds, performance evaluation, style timing

JEL Classification: G11, G23

Suggested Citation

Swinkels, Laurens and Tjong-A-Tjoe, Liam, Can Mutual Funds Time Investment Styles? (October 2006). Available at SSRN: https://ssrn.com/abstract=1003127 or http://dx.doi.org/10.2139/ssrn.1003127

Laurens Swinkels (Contact Author)

Erasmus University Rotterdam (EUR) ( email )

Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Netherlands

Robeco Quantitative Investments ( email )

Rotterdam, 3000
Netherlands
+31 10 224 2470 (Phone)
+31 10 224 2110 (Fax)

Liam Tjong-A-Tjoe

Erasmus University Rotterdam (EUR) ( email )

Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Netherlands

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