Kosowski, Timmermann, Wermers, and White (2006) find that certain growth-oriented fund managers have substantial skill but do not stipulate the particular skills that they possess. I use novel style timing models to examine in detail the timing skills of 3,181 US equity mutual funds classified as having a growth investment objective by Standard & Poor’s, over the period from 1993 to 2006. To control for idiosyncratic variation in mutual fund returns, the bootstrap method of Kosowski et al. is used to analyze the significance of alpha and timing coefficient estimates. To exclude the possibility that the observed timing ability is due to good luck, synthetic funds are examined as in Busse (1999). The results indicate that growth-oriented fund managers who earn abnormal returns demonstrate substantial growth timing skill, i.e. successful timing activity across the value/growth continuum. This observed growth timing ability accounts for at least 45% of abnormal returns and is persistent; the top 10% of funds which demonstrate growth timing ability in the past three years also demonstrate the best growth timing ability in the following year. Successful growth timing is confined to those managers who invest primarily in growth stocks. However, there is little evidence of successful market timing (i.e. forecasting future market states and weighting equity exposure accordingly), size timing (i.e. adjusting exposure between small and large capitalization stocks) or momentum timing (i.e. switching between momentum investing and contrarian investing strategies). The models employed clearly distinguish between growth timing and market timing skills, thereby avoiding a common misidentification problem.

Made available in DSpace on 2016-04-25T16:45:26Z (GMT). No. of bitstreams: 1 Bolivar Godinho.pdf: 862228 bytes, checksum: ac96392dabbde54c61ec358b59f5f80a (MD5) Previous issue date: 2001-03-30 / This work comprehends relevant aspects of investment funds in Brasil and develops information about investment funds in the United States, which determines the trends of the sector The research was made with seventeen Asset Management Companies in Brasil of several sizes, with the purpose to discover the minimum amount of money necessary to administer a company. The break-even-point analysis demonstrated that there may be several company levels, according to the market segments and cost conformation. The productivity in the companies denotes economic scales in the sector that make the activity an important profit center for the big banks / O presente trabalho abrange os aspectos relevantes dos fundos de investimento no Brasil e apresenta informações sobre os fundos nos Estados Unidos, cujo mercado determina as tendências para o setor. A pesquisa envolveu dezessete administradores de fundos brasileiros de diversos tamanhos, com a finalidade de obter o volume mínimo administrado para viabilizar uma empresa de Asset Management. Através da análise do ponto de equilíbrio, constatou-se que existem diversos tamanhos de empresas economicamente viáveis, dependendo do segmento de mercado em que atuam e estrutura de custos. A produtividade nas empresas pesquisadas indicou a presença de economias de escala no setor, o que torna a atividade um importante centro de lucro para os bancos de grande porte.