Study of Security Selection and Market Timing Abilities in Mutual Funds in Iranian Capital Market

This study is an attempt to apply the market timing and security selection models to evaluate the performance of Iranian mutual funds. The research shed light on the questions of ‘how successful are mutual funds in earning excess returns over those of themarket? ’ ‘Do the excess returns during research period have any meaningful trend for these financial intermediaries or is it the result of the ability for active management of portfolio? ’ To answer these questions، a sample of 8 mutual funds were chosen to investigate the ability for active management، including market timing & security selection، based on Treynor-Mazuy & Henriksson –Merton model. The results indicated that there is no statistically significant market timing ability in any of these cases، and positive security selection is only observed in two mutual funds.