Market timing and selectivity performance: A cross-sectional analysis of Philippine unit trust funds from 2011-2015

Date of Publication

2016

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Rene B. Betita

Defense Panel Chair

Tomas S. Tiu

Defense Panel Member

Roberto Camagong

Abstract/Summary

This study examines the relationships between market timing and selectivity performance, which are well-known abilities of fund managers, to the fund characteristics of Unit Investment Trust Funds (UITFs) such as fund size and risk UITFs specifically balanced funds, both funds, and equity funds in the Philippines from 2011 to 2015 are used.

To accomplish the study, Jensen's (19680 model is used to calculate the overall fund performance while Henriksson and Merton's (1981) models are used to separate the market timing and selectivity performance.

As proven through the statistical tests conducted in the course of this study, selectivity performance is positively related to fund risk while it is negatively related to fund size. On the other hand, market timing performance is negatively related to fund risk while it is positively related to fund size. To put it in a simpler way, find managers who are specialized in market timing strategy are better to be in positions of handling funds that are large in size while fund managers whose main activities are to select stocks are better to be exposed to the funds that are risky.

Resulting from the study, the researchers recommend for future researchers to make a study on mutual funds instead of UITFs to compare how different they are. Also, it is recommended to include all available UITFs even the dollar securities. Lastly, separate study for each type of fund such as peso Equity Fund only is also recommended to have more accurate study.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21360

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

123 leaves, 28 cm. + 1 computer disc

Keywords

Mutual funds

Embargo Period

5-3-2021

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