An Examination of Mutual Fund Timing Using Monthly Holdings Data

42 Pages Posted: 16 Feb 2009

See all articles by Edwin J. Elton

Edwin J. Elton

New York University (NYU) - Department of Finance

Martin J. Gruber

New York University (NYU) - Department of Finance

Christopher R. Blake

Fordham University - Gabelli School of Business

Date Written: February 14, 2009

Abstract

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

Elton, Edwin J. and Gruber, Martin J. and Blake, Christopher R., An Examination of Mutual Fund Timing Using Monthly Holdings Data (February 14, 2009). Available at SSRN: https://ssrn.com/abstract=1343246 or http://dx.doi.org/10.2139/ssrn.1343246

Edwin J. Elton

New York University (NYU) - Department of Finance ( email )

44 West 4th Street
Ste 9-190
New York, NY 10012-1126
United States
212-998-0361 (Phone)
212-995-4233 (Fax)

Martin J. Gruber (Contact Author)

New York University (NYU) - Department of Finance ( email )

44 West 4th Street
Ste 9-190
New York, NY 10012-1126
United States
212-998-0333 (Phone)
212-995-4233 (Fax)

Christopher R. Blake

Fordham University - Gabelli School of Business ( email )

113 West 60th Street
Lowenstein Building
New York, NY 10023
United States
212-636-6750 (Phone)

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