Revisiting the Fisher and Statman Study on Market Timing
Valuation-based market timing demonstrates greater potential to improve risk-adjusted returns for conservative long-term investors than given credit by Fisher and Statman (2006). On a risk-adjusted basis, market-timing strategies provide comparable returns as a 100 percent stocks buy-and-hold strategy but with substantially less risk. Meanwhile, market timing provides comparable risks and the same average asset allocation as a 50/50 fixed allocation strategy, but with much higher returns. Also, defining market timing as either 100 percent stocks or 100 percent Treasury bills does not provide a hedge against the possibility that valuations may depart from their historical averages for extended periods.
|Date of creation:||09 Mar 2011|
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- William Goetzmann & Jonathan Ingersoll & Matthew Spiegel & Ivo Welch, 2002.
"Portfolio Performance Manipulation and Manipulation-Proof Performance Measures,"
Yale School of Management Working Papers
amz2471, Yale School of Management, revised 01 Apr 2006.
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- Wade D. Pfau, 2009.
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GRIPS Discussion Papers
10-10, National Graduate Institute for Policy Studies, revised Sep 2010.
- Wade D. Pfau, 2009. "Lifecycle Funds and Wealth Accumulation for Retirement:Evidence for a More Conservative Asset Allocation as Retirement Approaches," GRIPS Discussion Papers 09-15, National Graduate Institute for Policy Studies.
- Kenneth L. Fisher & Meir Statman, 2006. "Market Timing In Regressions And Reality," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 29(3), pages 293-304.
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