Passive Timing Effect in Portfolio Management

27 Pages Posted: 4 Apr 2001

Multiple version iconThere are 2 versions of this paper

Date Written: undated


The primary objective of the present study is to analyse the extent of the passive timing effect in portfolio management. This effect is produced when a portfolio which is not managed actively shows signs of instability in its level of systematic risk. By contrast, market timing involves active management of the portfolio and therefore changes to the level of systematic risk in order to anticipate market movements in an appropriate manner. This study proposes a dynamic beta model which incorporates the effect of passive timing attributable to the accumulated evolution of weightings for the assets that make up the portfolio. The results demonstrate the importance of this effect when applying performance and market timing measures in order to evaluate portfolio results, such as those of mutual funds.

Keywords: Passive timing, market timing, portfolio, mutual fund, time-varying risk.

JEL Classification: G11, G23

Suggested Citation

Matallín Sáez, Juan Carlos and Fernández Izquierdo, Maria Angeles, Passive Timing Effect in Portfolio Management (undated). Available at SSRN: or

Juan Carlos Matallín Sáez (Contact Author)

Universitat Jaume I ( email )

Campus del Riu Sec
E-12071 Castello de la Plana, Castellón de la Plana 12071
+34 964 728 568 (Phone)
+34 964 728 565 (Fax)

Maria Angeles Fernández Izquierdo

Jaume I University ( email )

Campus del Riu Sec
Department of Accounting and Finance
E-12071 Castello de la Plana
+34 964 728560 ? 8568 (Phone)
+34 964 758565 (Fax)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics