The aim of this study is to analyse the volatility timing capacity of Spanish mutual funds in relation to market risk. This consists of reducing a portfolio's systematic risk during moments of high volatility, with the aim of decreasing the portfolio's risk and improving its performance. Based on daily data, the results of the study show the volatility timing to be correct in a large number of mutual funds. A robustness analysis is also carried out on the results obtained, which includes variables that identify the possibility of market timing. The inclusion of this variable does not affect previous results and shows a negative market timing. In order to evaluate market timing ability in the short term, in return and volatility, as well as in the long term or structural market timing, we have also analyzed the variability in the systematic risk of the mutual funds during the sample period.

Key words: mutual fund, timing, volatility, return, structural shift, performance, portfolio.
JEL classification: G11, G23.