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Multi-asset class mutual funds: Can they time the market? Evidence from the US, UK and Canada

Clare, A., O'Sullivan, N., Sherman, M. and Thomas, S. (2016). Multi-asset class mutual funds: Can they time the market? Evidence from the US, UK and Canada. Research in International Business and Finance, 36, pp. 212-221. doi: 10.1016/j.ribaf.2015.09.011


The importance of asset allocation decisions in wealth management is well established. However, given its importance it is perhaps surprising that so little attention has been paid to the question of whether professional fund managers are skilful at timing market movement across asset classes over time. The timing literature has tended to concentrate on the timing skill of single asset class funds. Using data on US, UK and Canadian multi-asset class funds, we apply two alternative methodologies to identify the asset class timing abilities of managers. Overall, whether we apply a returns-based method or a holdings-based testing approach, we find evidence of only a tiny minority of funds with asset class timing ability.

Publication Type: Article
Additional Information: © 2016, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
Publisher Keywords: Market timing; asset allocation; multi-asset funds
Subjects: H Social Sciences > HG Finance
Departments: Bayes Business School > Finance
Date available in CRO: 21 Jul 2017 16:03
Date deposited: 21 July 2017
Date of acceptance: 8 September 2015
Date of first online publication: 28 September 2015
Text - Accepted Version
Available under License Creative Commons Attribution Non-commercial No Derivatives.

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