MARKET TIMING AND SELECTIVITY WITHIN ROMANIAN BALANCED FUNDS INDUSTRY

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.