Abstract
The use of a proper investment policy by fund managers has a huge impact on the results achieved. Asset selection for the portfolio is of key importance, in line with the investment policy declared by the fund, and the appropriate timing of changes in the assets in the portfolio. This research aims to assess whether managers in the Polish market have the ability to select assets with a sense of market timing and selectivity. The research concerns domestic equity funds operating in between 2003 and 2017, from which 15 were selected. The entire research period was divided into three five-year sub-periods, to some extent coinciding with changing market conditions, and seven two-year periods, covering the years 2003–2016. It was assumed that the results for the entire period describe long-term strategies of funds, five-year and two-year periods, being respectively the medium and short term. The basis for calculations was the monthly rates of return on participation units. The research was carried out using the Treynor–Mazuy, Henriksson–Merton, and Busse models. WIBOR 1M was accepted as a risk-free rate, and the WIG index was the market factor. The summary of the research is a comparison of the results regarding the selectivity of asset selection, market timing, and the ability of managers of open investment fund portfolios to respond to the market situation. The final conclusions are not very favorable for the managers, and the clients require active involvement in the selection of funds.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsReferences
Ahmat, J., Sattar, A.: Estimation of fund selectivity and market timing: performance of Pakistani mutual funds. Glob. Manage. J. Acad. Corp. Stud. 6(2), 162–169 (2016)
Busse, J.A.: Another Look at Mutual Fund Tournaments. Working paper Emory University (1999)
Carlson, R.: Aggregate performance of mutual funds, 1948–1967. J. Fin. Quant. Anal. 5(1), 1–32 (1970)
Chang, E.C., Lewellen, W.G.: Market timing and mutual fund performance. J. Bus. 57, 57–72 (1984)
Foran, J., O’Sullivan, N.: Mutual fund skill in timing market volatility and liquidity. Forthcoming, Int. J. Fin. Econ. (2017). Available at SSRN: https://ssrn.com/abstract=2977795
Gallo, J., Swanson, P.: Comparative measures of performance for US based international equity mutual funds. J. Bank. Fin. 20(10), 1635–1650 (1996)
Grinblatt, M., Titman, S.: Mutual fund performance: an analysis of quarterly portfolio holdings. J. Bus. 62(3), 393–416 (1989)
Gudimetla, A.: Timing and Selectivity in Indian Sector Mutual Funds Performance. Jawaharlal Nehru Technological University Hyderabad, India (2015)
Henriksson, R., Merton, R.: On market timing and investment performance, II statistical procedures for evaluating forecasting skills. J. Bus. 54(4), 513–533 (1981)
Ippolito, R.A.: Efficiency with costly information: a study of mutual fund performance, 1965–1984. Quart. J. Econ. 104(1), 1–23 (1989)
Jamróz, P.: Parametryczna ocena umiejętności selektywności i wyczucia rynku zarządzających OFI akcji. Zeszyty Naukowe Uniwersytetu Szczecińskiego 639, Finanse, Rynki finansowe, Ubezpieczenia nr 37, pp. 221–231 (2011)
Karpio, A., Żebrowska-Suchodolska, D.: Dostosowywanie polityki inwestycyjnej FIO do zmiennej koniunktury rynkowej w latach 2003–2010. Metody i zastosowania ekonometrii współczesnej, vol. VII, pp. 105–115 (2013)
Koulis, A., Beneki, Ch., Adman, M., Botsaris, Ch.: An assessment of the performance of Greek mutual equity funds selectivity and market timing. Appl. Math. Sci. 5(4), 159–171 (2011)
Philippas, N., Tsionas, E.: Performance evaluation: an review article and an empirical investigation of Greek mutual fund managers. Int. Bus. Econ. Res. J. 1(6), 31–44 (2002)
Rao, K.V., Venkateswarlu, K.: Market Timing Abilities of Fund Managers—A Case Study of Unit Trust of India. UTI Institute of Capital Markets and Tata Mcgraw Hill Publications, Indian Capital Markets—Trends and Dimensions (2000)
Sheikh, M.J., Noreen, U.: Validity of efficient market hypothesis: evidence from UK mutual funds. Afr. J. Bus. Manage. 6(2), 514–520 (2012)
Thanou, E.: Mutual fund evaluation during up and down market conditions: the case of Greek equity mutual funds. Int. Res. J. Fin. Econ. 13, 84–93 (2008)
Treynor, J.L., Mazuy, K.: Can mutual funds outguess the market? Harvard Bus. Rev. 44, 131–136 (1966)
Ważna, E.: Efektywność inwestowania otwartych funduszy inwestycyjnych w Polsce w latach 2007–2014. Zeszyty Naukowe Uczelni Vistula 56(5), 64–83 (2017)
Węgrzyn, T.: Efektywność funduszy inwestycyjnych stosujących aktywne strategie zarządzania portfelem. Studia Ekonomiczne. Zeszyty Naukowe Uniwersytetu Ekonomicznego w Katowicach nr 239, pp. 141–152 (2015)
Witkowska, D., Kompa, K., Grabska, M.: Badanie informacyjnej efektywności rynku w formie silnej na przykładzie wybranych funduszy inwestycyjnych. Metody Ilościowe w Badaniach Ekonomicznych X, 265–285 (2009)
Żelazowska, I.: Wyczucie rynku w działalności funduszy inwestycyjnych akcji w Polsce- badanie empiryczne. Annales, LI 1, 125–134 (2017)
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2020 Springer Nature Switzerland AG
About this paper
Cite this paper
Żebrowska-Suchodolska, D., Karpio, A. (2020). Market Timing Models for Equity Funds Operating on the Polish Market in the Years 2003–2017. In: Nermend, K., Łatuszyńska, M. (eds) Experimental and Quantitative Methods in Contemporary Economics. CMEE 2018. Springer Proceedings in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-30251-1_21
Download citation
DOI: https://doi.org/10.1007/978-3-030-30251-1_21
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-030-30250-4
Online ISBN: 978-3-030-30251-1
eBook Packages: Economics and FinanceEconomics and Finance (R0)