Evaluating Market Timing Ability of Mutual Fund Managers Based on Conditional and Unconditional Approaches

Mutual Funds are one of the important elements of financial markets which act as financial intermediation and convert investment of amateur investors from direct condition to indirect. Given the importance of funds, this study tries to evaluate the market timing ability of manager's funds using conditional and unconditional models (Treynor–Mazuy and Henriksson –Merton) and compares both conditional and unconditional approaches. Data relating to twenty-three funds are used during the period of 1388-1392, and generalized least squares regression analysis is performed by using EVIEWS6 software. The results indicate the inability of market timing in fund managers using both conditional and unconditional models. Moreover, the conditional approach does not provide higher explanatory power than the unconditional approach.