摘要：This research is geared towards analysing performance of the fund managers and their market timing abilities. For the purpose of this study, sample of 50 U.K. mutual funds were selected in random. Their returns from the beginning of 1990 to the end of 2008 were used for hypotheses testing. Financial Times All Share Index was taken as a benchmark. Two widely accepted performance measurement techniques were employed, that is, Jensen alpha measure and Treynor and Mazuy market timing hypothesis. Based on the results, it is concluded that the fund managers lacked the ability to predict the market movement on consistent bases. They were unable to outperform the market or in simple words, they could not “beat the market”. Any chance of outperforming the market is merely a random chance and this cannot be done on consistent bases. An interesting thing to note is that fund managers also lacked market timing abilities which supports the efficient market hypothesis proposed by Fama. Present research has strong implications for existing and potential fund managers and individual investors in terms of measuring the performance of mutual funds.
