PARAMETRIC TESTS FOR TIMING AND SELECTIVITY IN POLISH MUTUAL FUND PERFORMANCE

The evaluation of the performance of investment managers is a much studied problem in finance. Superior performance may be achieved as a result of timing (macro-forecasting) as well as of security selection (micro-forecasting) skills of portfolio managers. Fama (1972) suggested that a manager's forecasting ability could be split into two separate activities: - Microforecasting - where the manager attempts to forecast future price movements of individual securities, - Macroforecasting - where the manager forecasts future price movements of the stock market in general. Some researchers have developed models that allow the decomposition of managers' performance into market - timing and selectivity skills The main goal of this paper is an empirical analysis of market - timing and selectivity skills of Polish open-end mutual funds managers. The authoress compares three parametric methods: the Treynor & Mazuy (T-M) model, the Henriksson & Merton (H-M) model and the multifactor version of the H-M model . The market - timing and selectivity ability of 15 equity open-end mutual funds is evaluated for the period January 2003 - January 2008. The authoress follows Bollen & Busse evidence and uses daily data