Market and Style Timing: German Equity and Bond Funds

30 Pages Posted: 2 Sep 2016

See all articles by Keith Cuthbertson

Keith Cuthbertson

City University London - Sir John Cass Business School

Simon Hayley

City University London - Sir John Cass Business School

Dirk Nitzsche

City University London - Sir John Cass Business School

Date Written: September 2016

Abstract

We apply parametric and non‐parametric estimates to test market and style timing ability of individual German equity and bond mutual funds using a sample of over 500 equity and 350 bond funds, over the period 1990–2009. For equity funds, both approaches indicate no successful market timers in the 1990–1999 or 2000–2009 periods, but in 2000–2009 the non‐parametric approach gives fewer unsuccessful market timers than the parametric approach. There is evidence of successful style timing using the parametric approach, and unsuccessful style timing, particularly in the 2000–2009 period. There is evidence of positive and negative bond timing in the 2000–2009 period.

Keywords: mutual funds performance, market timing

Suggested Citation

Cuthbertson, Keith and Hayley, Simon and Nitzsche, Dirk, Market and Style Timing: German Equity and Bond Funds (September 2016). European Financial Management, Vol. 22, Issue 4, pp. 667-696, 2016, Available at SSRN: https://ssrn.com/abstract=2833621 or http://dx.doi.org/10.1111/eufm.12080

Keith Cuthbertson (Contact Author)

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

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Simon Hayley

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

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Dirk Nitzsche

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

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

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