Abstract

http://ssrn.com/abstract=1947323
 
 

Citations (93)



 


 



Assessing the Market Timing Performance of Managed Portfolios


Ravi Jagannathan


Northwestern University - Kellogg School of Management; National Bureau of Economic Research (NBER); SAIF; ISB

Robert A. Korajczyk


Northwestern University - Kellogg School of Management

September 1, 1985

Journal of Business, Vol. 59, No. 2, pp. 217-235, 1986

Abstract:     
A number of techniques have been proposed to measure portfolio performance and to distinguish between performance due to forecasting security-specific returns and performance due to forecasting market-wide events. We show theoretically and empirically that it is possible to construct portfolios that show artificial timing ability when no true timing ability exists. In particular, investing in options or levered securities will show spurious market timing. These types of securities will also induce the negative correlation between measured selectivity and timing ability found by others. We suggest specification tests to help distinguish between spurious and true timing ability. In addition, the tests can be used to distinguish between different models of the manager's reaction function.

Number of Pages in PDF File: 31

Keywords: Portfolio Performance Evaluation, Market Timing, Performance Atribution

JEL Classification: G10, G11, G12

Accepted Paper Series


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Date posted: October 21, 2011 ; Last revised: May 3, 2012

Suggested Citation

Jagannathan, Ravi and Korajczyk, Robert A., Assessing the Market Timing Performance of Managed Portfolios (September 1, 1985). Journal of Business, Vol. 59, No. 2, pp. 217-235, 1986. Available at SSRN: http://ssrn.com/abstract=1947323

Contact Information

Ravi Jagannathan
Northwestern University - Kellogg School of Management ( email )
2001 Sheridan Road
429 Andersen Hall
Evanston, IL 60208
United States
847-491-8338 (Phone)
847-491-5719 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
SAIF ( email )
Shanghai
China
ISB ( email )
Hyderabad, Gachibowli 500 019
India
Robert A. Korajczyk (Contact Author)
Northwestern University - Kellogg School of Management ( email )
2001 Sheridan Road
Evanston, IL 60208
United States
847-491-8336 (Phone)
847-491-5719 (Fax)
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