The Forecasting Performance of Balanced Funds, 1965-1985
Posted: 15 Sep 1999
Date Written: February 1994
This study uses quarterly asset holdings information to examine the informational efficiency of forecasts of balanced mutual fund managers over the period 1965-1985. The main findings are that (1) their record in forecasting the sign and magnitude of the stock-bond relative return suggests the absence of private timing information; (2) success and failure in forecasting this relative return is randomly distributed over time; (3) the net-of-expenses returns for the average fund do not offer a marginal mean- variance improvement over a buy-and-hold investment in a matched benchmark. The evidence is consistent with the efficient markets conclusion of most earlier research using return data alone.
JEL Classification: G1
Suggested Citation: Suggested Citation