The Performance of Market-Timing Strategies of Italian Mutual Fund Investors

15 Pages Posted: 8 Apr 2015 Last revised: 16 Jan 2017

See all articles by Nicola Borri

Nicola Borri

LUISS University - Department of Economics and Finance

Alberto Cagnazzo

LUISS Guido Carli University, Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: January 16, 2017

Abstract

In this paper we show that simple buy-and-hold strategies over-perform market-timing strategies effectively used by Italian investors in equity mutual funds. We estimate returns from market-timing strategies using aggregate data on net flows for a large sample of equity mutual funds, available to Italian investors, that buy stocks in the following markets: Europe and the euro area, the United States, and Emerging markets. In all cases, buy-and-hold over-performs market-timing with extra returns that go from 0.24% per quarter (Europe and euro area) to 0.87% per quarter (US market). These differences are not explained by differences in risk and risk exposure. Investors should re-consider their investment strategies and choose cheaper, in terms of fees, and simpler, in terms of portfolio allocation, passive strategies.

Keywords: mutual funds, market-timing, buy-and-hold, passive investment

JEL Classification: G11, G12

Suggested Citation

Borri, Nicola and Cagnazzo, Alberto, The Performance of Market-Timing Strategies of Italian Mutual Fund Investors (January 16, 2017). Available at SSRN: https://ssrn.com/abstract=2587343 or http://dx.doi.org/10.2139/ssrn.2587343

Nicola Borri (Contact Author)

LUISS University - Department of Economics and Finance ( email )

viale Romania, 32
Rome, 00197
Italy

HOME PAGE: http://docenti.luiss.it/borri/

Alberto Cagnazzo

LUISS Guido Carli University, Department of Economics ( email )

LUISS Guido Carli University, Students
Rome
Italy

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