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| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | On market timing ability of Switzerland-based mutual funds |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 46 |
| Date | 2017 |
| Abstract Text | This thesis examines the market timing performance of Switzerland-based mutual funds between 2009 and 2017. Two well-established models derived by Treynor and Mazuy (1966) and Henriksson and Merton (1981) will be introduced and then applied on our data set, containing historic returns of 472 mutual funds, to measure their performance in regard to market timing. Further, this thesis aims to put the obtained results in a bigger picture by a comparison with the minimum degree of forecast accuracy to beat a passive buy-and-hold strategy, computed with a model developed by Sharpe (1975). We find that (1) there is no evidence of significant timing ability even though the funds tend to have positive timing coefficients on average, irrespective of the applied model and (2) that superior market timing does not imply that one fares better than a passive buy-and-hold investor. Keywords: Market timing, mutual fund performance, efficient market hypothesis, capital asset pricing model, Switzerland, empirical analysis I |
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