Market Timing Abilities Of Indian Mutual Fund Managers

Abstract

During the recent period the growth of mutual fund industry is
tremendous. Competition is increasing as more and more companies are entering this industry. Hence, it is very much important for the fund manager to have market timing skills in addition to stock selection skills.
These skills help the fund manager to generate superior returns by careful micro security selection efforts, but also by engaging in successful macro market timing activities. This enables the fund managers of judging direction of the market correctly, whether bull or bear. This study is aimed at examining the market timing abilities of Indian mutual fund managers of 137 selected open ended mutual fund schemes on the basis of the monthly returns from January 2000 to December 2009 by using Jensen & Mazuy Model and Henri ksson and Merton model. BSE30 has been used as benchmark proxy and 91 days T-bills rate has been used as a proxy to risk free return. The study finds that the Indian fund managers do not seriously engaged in correct market timing activities at all and are relying on stock selection skills and they have not been successful in earning returns in excess of the market, rather they are timing the market in the wrong direction.