Multi-Asset Class Mutual Funds: Can They Time the Market? Evidence from the US, UK and Canada

Clare, Andrew D., O'Sullivan, Niall , Sherman , Meadhbh and Thomas, Steve H., Multi-Asset Class Mutual Funds: Can They Time the Market? Evidence from the US, UK and Canada, Research in International Business and Finance, (2015 Forthcoming).

25 Pages Posted: 4 Apr 2015  

Andrew Clare

City University London - Sir John Cass Business School

Niall O'Sullivan

University College Cork

Meadhbh Sherman

University College Cork

Steve Thomas

City University London - Sir John Cass Business School

Date Written: April 2, 2015

Abstract

The importance of asset allocation decisions in wealth management is well established. However, given its importance it is perhaps surprising that so little attention has been paid to the question of whether professional fund managers are skillful at timing market movement across asset classes over time. The timing literature has tended to concentrate on the timing skill of single asset class funds. Using data on US, UK and Canadian multi-asset class funds, we apply two alternative methodologies to identify the asset class timing abilities of managers. Overall, whether we apply a returns-based method or a holdings-based testing approach, we find evidence of only a tiny minority of funds with asset class timing ability.

Keywords: Market timing, asset class timing, asset allocation

JEL Classification: G0; G11; G15

Suggested Citation

Clare, Andrew and O'Sullivan, Niall and Sherman , Meadhbh and Thomas, Steve, Multi-Asset Class Mutual Funds: Can They Time the Market? Evidence from the US, UK and Canada (April 2, 2015). Clare, Andrew D., O'Sullivan, Niall , Sherman , Meadhbh and Thomas, Steve H., Multi-Asset Class Mutual Funds: Can They Time the Market? Evidence from the US, UK and Canada, Research in International Business and Finance, (2015 Forthcoming). . Available at SSRN: https://ssrn.com/abstract=2589043

Andrew D. Clare

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Niall O'Sullivan (Contact Author)

University College Cork ( email )

Department of Economics
Western Road
Cork, n/a
Ireland

Meadhbh Sherman

University College Cork ( email )

Stephen H. Thomas

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 (0) 20 7040 5271 (Phone)
+44 (0) 20 7040 8881 (Fax)

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