An Evaluation of Mutual Funds Performance in Iranian Capital Market by combining Market Timing Models with the Fama and French three Factor Model

Subject Areas : Journal of Investment Knowledge

Hossein Abdoh Tabrizi ¹ , Behrang Asadi Gharehjeloo ²

1 - Ph.D. Finance and Banking, Manchester Business School, England
2 - Ph.D. Student in Finance, Faculty of Management University of Tehran- Iran

Received: 2017-09-25 Accepted : 2018-01-20 Published : 2019-09-23

Keywords: market-timing, security selection, combined models, mutual fund, Fama &amp, French model,

Abstract :

The aim of this study is to consider the combination of market timing models with Fama - French three factor model to evaluate the performance of mutual funds in Iran capital market. To follow this purpose, a sample of 12 mutual funds for the years of 2011-2015 has been chosen. At first step, active management skills including market timing & security selection based on Treynor-Mazuy & Henriksson –Merton models for individual funds and then for all of the funds, using panel model, was applied. The results show that there is no statistically significant market timing ability and security selection among any of these cases. Although a Positive statistically significant size and book to market ratio effect, respectively, in one and three mutual funds is observed. As a result of panel model, there is a negative statistically significant size effect and security selection, a positive statistically significant beta and book to market ratio, and there is no market timing ability in both Treynor-Mazuy & Henriksson –Merton models. In contrast to traditional models, combined models show better results.    

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