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The Performance of Market Timing Measures in a Simulated Environment

Author

Listed:
  • Stéphane Chrétien
  • Frank Coggins
  • Félix d’Amours

Abstract

Using simulations controlling for the ability to time the equity, bond, and money markets, we compare daily and monthly performance measures. Our main results highlight the joint importance of the fictitious timer’s trading frequency and the data sampling frequency for estimation. Specifically, daily timing measures are superior to those estimated monthly for daily timers, but inferior for occasional or monthly timers. Global measures show more robustness to differences in trading and data sampling frequencies. Finally, conditional measures do not improve upon unconditional ones, and results are similar for performance detection versus ranking.

Suggested Citation

  • Stéphane Chrétien & Frank Coggins & Félix d’Amours, 2016. "The Performance of Market Timing Measures in a Simulated Environment," Review of Finance, European Finance Association, vol. 20(3), pages 1153-1187.
    • Handle: RePEc:oup:revfin:v:20:y:2016:i:3:p:1153-1187.
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    References listed on IDEAS

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    1. Jiang, George J. & Yao, Tong & Yu, Tong, 2007. "Do mutual funds time the market? Evidence from portfolio holdings," Journal of Financial Economics, Elsevier, vol. 86(3), pages 724-758, December.
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    3. Robert N McCauley, 2001. "Benchmark tipping in the money and bond markets," BIS Quarterly Review, Bank for International Settlements, March.
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