An Examination of Mutual Fund Timing Using Monthly Holdings Data
42 Pages Posted: 16 Feb 2009
Date Written: February 14, 2009
In this paper we use data on the monthly holdings for a set of mutual funds to study the timing ability of these funds. By examining monthly holdings we are able to see how management changes the risk parameters and industry holdings in a fund and to examine how this contributes to timing. We find evidence that timing decisions result in a decrease in performance, whether timing is measured using conditional or unconditional sensitivities. Likewise, sector rotation decisions also result in lower returns. Examining the results for individual sectors shows that the majority of the negative impact on returns from sector rotation comes about because of a fund changing exposure to high-tech stocks.
Keywords: mutual funds, portfolios, composition, timing
JEL Classification: G11, G12
Suggested Citation: Suggested Citation