THE INVESTMENT PERFORMANCE OF UNITED-STATES EQUITY PENSION FUND MANAGERS - AN EMPIRICAL-INVESTIGATION

• 成果类型: Article
• 署名作者: COGGIN, TD; FABOZZI, FJ; RAHMAN, S
• 署名单位: Portland State University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1993.tb04029.x
• 发表日期: 1993
• 页码: 1039-1055
• 关键词: COVARIANCE-MATRIX ESTIMATOR; MARKET-TIMING PERFORMANCE; Mutual funds; heteroscedasticity; INFORMATION; selectivity; EFFICIENCY; portfolios; benchmarks

摘要

This paper presents an empirical examination of the selectivity and market timing performance of a sample of U.S. equity pension fund managers. Regardless of the choice of benchmark portfolio or estimation model, the average selectivity measure is positive and the average timing measure is negative. However both selectivity and timing appear to be somewhat sensitive to the choice of a benchmark when managers are classified by investment style. Meta-analysis revealed some real variation around the mean values for each measure. The 80 percent probability intervals for selectivity revealed that the best managers produced substantial risk-adjusted excess returns. We also found a negative correlation between selectivity and timing, but we argue that the observed negative correlation in our data is largely an artifact of negatively correlated sampling errors for the two estimates.