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Timing Decisions and the Behavior of Mutual Fund Systematic Risk

Published online by Cambridge University Press:  06 April 2009

Gordon J. Alexander ,
P. George Benson  and
Carol E. Eger
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Extract

The investment performance of professionally managed portfolios, in general, and mutual funds, in particular, has been the subject of considerable attention in finance. Fama [9] has suggested that overall portfolio performance be broken down in such a manner that the individual sources of performance can be identified. Two basic sources are: (1) the ability of the portfolio manager to forecast price movements of individual common stocks relative to stocks in general (selectivity or microforecasting); and (2) the ability to forecast the direction of the stock market relative to fixed income securities (timing or macroforecasting).

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Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 17 , Issue 4 , November 1982 , pp. 579 - 602
Copyright
Copyright © School of Business Administration, University of Washington 1982

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