Selectivity and Market Timing Performance of Fidelity Sector Mutual Funds

Dellva, Wilfred L.; DeMaskey, Andrea L.; Smith, Colleen A.

doi:10.1111/j.1540-6288.2001.tb00003.x

Cited by 56 publications

(44 citation statements)

References 17 publications

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“…Daniel and Wermers (1997) develop and apply a benchmark based on the characteristics of portfolios holdings to measure the performance of actively managed funds, and find some funds have stock selection skills. Similar results have been found for sector mutual funds by Dellva and Smith (2001), who test the stock-selection skills of funds managers using a series of industry benchmarks and conclude that many sector fund managers are skillful in picking undervalued securities. However, they also express their concern that the results are sensitive to the choice of benchmark.…”

Section: Literature Reviewsupporting

confidence: 62%

Can US Real Estate Mutual Funds Beat the Market? New Evidence

Zhao¹,

Macgregor²,

Schulz³

2013

Proceedings of the 20th Annual European Real Estate Society Conference - Vienna, Austria

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This paper examines the performance of active US domestic real estate mutual funds (REMFs), both before and after fund managers' compensation. We consider both the REMF industry as a whole, and also individual funds, separately against stock market and real estate market benchmarks. For individual funds, the cross-section bootstrap method is used to separate fund managers' genuine skills from luck. We find that the REMF industry, as a whole, can beat a real estate market benchmark; but we find that the REMF industry cannot beat the stock market or the combined benchmark even when operating expenses are not taken into account. For individual REMFs, we find genuine stock-picking skills, net of operating expenses, for nearly 30% of funds in the performance distribution, relative to the real estate sector benchmark, but no outperformance against the stock market. The proportion of skilled managers shrinks to no more than 10% when the combined benchmark is used.

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Section: Literature Reviewsupporting

confidence: 62%

Can US Real Estate Mutual Funds Beat the Market? New Evidence

Zhao¹,

Macgregor²,

Schulz³

2013

Proceedings of the 20th Annual European Real Estate Society Conference - Vienna, Austria

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“…The evidence from studies on the performance of managed funds is that only a limited number of fund managers possess market timing skills (see, for example, Treynor and Mazuy, 1966;Jensen, 1968;Kon and Jen, 1978;Henriksson and Merton, 1981;Kon, 1983;Henriksson, 1984;Admati et al, 1986;Lehmann and Modest, 1987;Lee and Rahman, 1990;Kao et al, 1998;Blake et al, 1999;Dellva et al, 2001). In the case of Australian superannuation funds, the few studies conducted on this issue have found that these funds do not possess any market timing skills at all (Prather et al, 2001;Benson and Faff, 2004;Drew et al, 2005;Faff et al, 2005).…”

Section: Brief Review Of the Literaturementioning

confidence: 93%

An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach

Roca

Wong

2008

Applied Financial Economics

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This article investigates the sensitivity of Australian superannuation funds in relation to equity and bond markets. In particular, it examines the extent, speed and duration of response of the Australian superannuation funds's returns to movements in the US and Australian equity and bond markets when fund returns are in the up, normal and down regimes, through the application of Markov regime switching analysis. The results reveal that Australian superannuation funds's returns are most affected by movements in the US equity market, followed by the Australian equity market then by the US bond market. Funds's returns are not influenced at all by movements in the Australian bond market. They respond quickly and briefly to market movements irrespective of whether funds returns are in a down, normal or up state. Funds's returns move positively with the US equity market under all states or regimes of funds returns but most especially during the down regime. They are influenced by the Australian equity market only during the normal regime and by the US bond market only during the up regime. In line with those of previous studies, these results imply that Australian superannuation funds are not able to time their exposure to markets and that their performance is indicative of an efficient market.

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“…In an earlier study of Fidelity's sector funds, Dellva, DeMaskey, and Smith (2001) find positive single‐index alphas for some of Fidelity's funds. Sector funds represent only a small fraction of Fidelity's equity holdings ($17 of $413 billion in 1998).…”

Section: Introductionmentioning

confidence: 85%

Are the Insider Trades of a Large Institutional Investor Informed?

Golec¹

2007

The Financial Review

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We use a unique data set to consider whether a large institution's (Fidelity funds) insider trades are informed. Theoretical studies of large informed traders suggest that their information advantage could be greater for buy trades than sell trades, be short- or long-lived, and be exploited by varying the pace of trade execution. Although there is evidence of each of these, Fidelity seems to be informed only for quickly executed buy trades. Other trades outperform a stock market index but not a four-factor return model. This performance profile is consistent with Fidelity's fees, which depend on performance compared to an index. Copyright 2007, The Eastern Finance Association.

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Selectivity and Market Timing Performance of Fidelity Sector Mutual Funds

Cited by 56 publications

References 17 publications

Can US Real Estate Mutual Funds Beat the Market? New Evidence

Can US Real Estate Mutual Funds Beat the Market? New Evidence

An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach

Are the Insider Trades of a Large Institutional Investor Informed?

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