Multi-asset class mutual funds: Can they time the market? Evidence from the US,UK and Canada |
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| Institution: | 1. Cass Business School, 106, Bunhill Row, London EC1Y 8TZ, United Kingdom;2. Economics Department, University College Cork, Cork, Ireland;1. Department of Accounting and Finance, Birmingham City Business School, Birmingham City University, UK;2. Faculty of Banking and Finance, Foreign Trade University, Viet Nam;1. Division of Business Administration, College of Business Chosun University Gwangju, 501-759, Republic of Korea;2. Division of Fusion and Convergence of Mathematical Sciences, National Institute for Mathematical Sciences Daejeon, 305-390, Republic of Korea;1. Governance, Finance and Accounting Laboratory, Faculty of Economics and Management, Sfax, Tunisia;2. Faculty of Economics and Management, Sfax, Tunisia;1. University of Burgos, Department of Economics and Business Administration, Pza. Infanta Elena, 09001 Burgos, Spain;2. Faculdade de Economia do Porto, Universidade do Porto and CEF-UP—Center for Economics and Finance at UP Rua Roberto Frias, 4200-464 Porto, Portugal;3. University of Valladolid—Soria Campus, Department of Accounting and Financial Economics, Calle Universidad s/n, 42004 Soria, Spain;1. Finance and Economics, College of Industrial Management, King Fahd University of Petroleum and Minerals, Dhahran, Saudi Arabia;2. Sam M. Walton College of Business, University of Arkansas, Fayetteville, AR 72701, USA |
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| 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 skilful 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. |
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| Keywords: | Market timing Asset allocation Multi-asset funds |
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