Preferences help
enabled [disable] Abstract
Number of results
2016 | 45 | 2 | 111-125
Article title

The Market Timing Skills of Fund Managers in Less Developing Economies (A Case of Equity and Blended Funds in Kenya)

Title variants
Languages of publication
This paper evaluates the market timing of equity and blended mutual funds in Kenya for the period 1st January 2006 to 31st December 2009. The objective of the study was to examine fund managers’ market timing skill .The research was motivated by the fact that there is limited research on market timing skills of fund managers in less developed economies such as Kenya. The target population was all mutual funds in Kenya. The research used secondary source to collect data which included mutual funds daily returns and annual reports for the period 2005 to 2009. The data was used to calculate the net asset value and hence market timing skills of mutual funds in Kenya. The market timing skills were calculated by models developed by Treynor and Mazuy (1966). Using year by year basis, only blended funds show market timing effort as shown by positive market timing coefficient as compared to equity funds. However, the general finding was that all the market timing skills of fund managers were not significant. The implication is that the fund managers in Kenya have no market timing skills over the research period.
Physical description
  • [1] Bhalla, V.K. (2002). Portfolio analysis and management, S. Chand & Company ltd, New Delhi.
  • [2] Bliss, R. T., Potter, M. E., & Schwarz, C. (2008).Performance Characteristics of Individually-Managed versus Team-Managed Mutual Funds, Journal of Portfolio Management, 34(3), 110-119.
  • [3] Carhart, Mark M., (1997). On persistence in mutual fund performance, Journal of Finance 52, 57-82.
  • [4] Chen, Y., Ferson, W., & Peters, H. (2010), Measuring the timing ability and performance of bond mutual funds. Journal of Financial Economics, 98, 72-89.
  • [5] CMA (2010). Investors handbook, Kenya.
  • [6] Fabozzi. (2002). Foundations Of Financial Markets & Institutions, 3/E. Pearson Education.
  • [7] Fama, E.F. (1970), “Efficient capital markets: a review of theory and empirical work”, The Journal of Finance, Vol. 25 No. 2, pp. 383-417.
  • [8] Filippas, N.D, and Psoma, C (2001),"Equity mutual fund managers performance in Greece", Managerial Finance, 27(6), 68-75.
  • [9] Henrikson, R.D. and R.C Merton, (1981). On the market timing and investment performance: Statistical procedures for evaluation forecasting skill, Journal of Business 54, 513-533.
  • [10] Jensen, Michael C. (1967). The performance of Mutual funds in the period 1945-64, Journal of Finance 23, 389-416.
  • [11] Jensen, Michael C, (1968), Risk, the pricing of capital assets, and the evaluation of investment portfolios. Journal of Business 42, 167-247.
  • [12] Jones, C. P. (2004). Investments: Analysis and Management (9th Ed.). New Delhi: John Wiley & Sons.
  • [13] Ippolito, R.A. (1989). ‘‘Efficiency with costly information: a study of mutual fund performance, 1965-1984’’, The Quarterly Journal of Economics, Vol. 104, pp. 1-23.
  • [14] Lee, C., Shleifer, A., & Thaler, R. (1991). Investor sentiment and closed end fund puzzle. The Journal of Finance, 46, 75-110.
  • [15] Lintner, John. 1965. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics 47 (February): 13-37.
  • [16] Markowitz, Harry, (1952). "Portfolio Selection", Journal of Finance, Vol. 7, 77-91.
  • [17] Sharpe, W.F. (1964). Capital asset prices: a theory of market equilibrium under conditions of risk, Journal of Finance, Vol. 19, pp. 425-42.
  • [18] The Kenya gazette (April 2010). Republic of Kenya gazette notice, No. 4770, Volume CXII, No. 45.
  • [19] Treynor, J. L. (1965). How to rate management of investment funds. Harvard Business Review, 63-75.
  • [20] Treynor, J.L. and Mazuy, K. (1966). Can mutual funds outguess the market?, Harvard Business Review, Vol. 44, No. 4, pp. 131-6.
Document Type
Publication order reference
YADDA identifier
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.