文章基本信息

标题：MARKET TIMING AND SELECTIVITY WITHIN ROMANIAN BALANCED FUNDS INDUSTRY
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作者：Filip, Angela-Maria ; Pochea, Maria Miruna ; Morariu, Mihaela-Daniela 等
期刊名称：Theoretical and Applied Economics
印刷版ISSN：1841-8678
电子版ISSN：1844-0029
出版年度：2013
卷号：XX
期号：Special I
页码：400-412
出版社：Asociatia Generala a Economistilor din Romania - AGER
摘要：This paper studies the performance of Romanian balanced funds over the period 2005-2011. It analyzes recent evolutions of Romanian balanced funds industry and it tries to assess the risk-adjusted performance of this category of funds as well as the market timing and selectivity abilities of funds’ managers. The results show that Romanian balanced funds had a negative risk adjusted performance, meaning that they did not generate excess return per level of risk. Facing the negative evolution of the capital market, inventors’ distrust and the legal limits imposed on portfolio diversification, funds’ managers have had a hard time adjusting their portfolios and generating performance.
关键词：mutual funds; risk-adjusted performance; performance decomposition; market timing; selectivity.