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Market timing: A global endeavor

  • Rodri­guez, Javier
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    This paper employs daily fund and index data, the classical Treynor and Mazuy timing model, and two multi-factor extensions to measure the market timing ability of global asset allocation funds. These funds differ from traditional global or international funds in that they face fewer investment constraints and are known to actively shift funds across a wide variety of asset classes. When using the classical Treynor and Mazuy timing models, I find evidence of poor market timing ability. However, this evidence disappears when timing ability is examined using two multi-factor models. The results from Treynor and Mazuy are spurious since both multi-factor extensions do a much better job in explaining the variation in average fund returns.

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    File URL: http://www.sciencedirect.com/science/article/B6VGT-4PN05PT-1/2/8956258feb874c8a4823cb62777b1dc1
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    Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

    Volume (Year): 18 (2008)
    Issue (Month): 5 (December)
    Pages: 545-556

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    Handle: RePEc:eee:intfin:v:18:y:2008:i:5:p:545-556
    Contact details of provider: Web page: http://www.elsevier.com/locate/intfin

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    2. Volkman, David A, 1999. "Market Volatility and Perverse Timing Performance of Mutual Fund Managers," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(4), pages 449-70, Winter.
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    10. Bhargava, Rahul & Gallo, John G & Swanson, Peggy E, 2001. " The Performance, Asset Allocation, and Investment Style of International Equity Managers," Review of Quantitative Finance and Accounting, Springer, vol. 17(4), pages 377-95, December.
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