A Review of Mutual Investment Funds Performance with a View of Market Timing

Abstract

Appropriate function of active management in common investment funds function depend on factors such as diversification, identification papers unrealistic pricing, market timing, and so on. Market timing are include changing the portfolio investment funds and market indices such as short-term bonds and make an asset depends on whether the market is expected in the whole of the assets to make better or worse. In this study, with using Henriksson and Merton (2008) methodology to assess the market timing function of investment funds in Iran. Based on the above methodology, beta of the portfolio takes only two values. If it is expected that the market will perform well will have a beta greater value and otherwise takes a smaller value. For this purpose, a common investment fund's monthly returns of 53 Mutual Funds were studied. The results of this study suggest that the beta of Mutual Funds was about 0.49 units higher when there waiting for the proper performance of the market than the beta of the funds in normal conditions and the amount of C in the regression equation used Henriksson and Merton significantly is positive. In other words, the existence market timing in investment funds of Iran on a monthly basis is confirmed