Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination

Fabozzi, Frank J.; Francis, Jack Clark

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Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination

JOURNAL OF FINANCE, 1979 December, XXXIV (5), pages 1243-1250.

9 Pages Posted: 30 Mar 2015 Last revised: 3 Apr 2015

See all articles by Frank J. Fabozzi

Frank J. Fabozzi

Johns Hopkins University - Carey Business School

Jack Clark Francis

Zicklin School of Business, Baruch College

Date Written: December 28, 1979

Abstract

The single-index market model is estimated with market returns from mutual funds. Binary variables are used to determine if the beta coefficients increase during bull markets. If the mutual fund beta coefficients increase during bull markets, for example, this increase indicates the portfolio manager has superior market timing ability. Mutual fund managers with superior market timing ability were not discovered.

Keywords: Single-index market model, mutual funds, binary variables, bull and bear markets, beta

Suggested Citation: Suggested Citation

Fabozzi, Frank J. and Francis, Jack Clark, Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination (December 28, 1979). JOURNAL OF FINANCE, 1979 December, XXXIV (5), pages 1243-1250., Available at SSRN: https://ssrn.com/abstract=2586506