On Swiss Timing and Selectivity: In the Quest of Alpha

FAME Working Paper No. 27

34 Pages Posted: 23 Jul 2001

See all articles by Francois Lhabitant

Francois Lhabitant

Kedge Capital Fund Management; EDHEC Business School

Multiple version iconThere are 2 versions of this paper

Date Written: June 2001


This paper presents an overview of the theories underlying the major portfolio performance measurement models, with an empirical application to assess the market timing and stock-picking abilities of an exhaustive sample of 60 Swiss-equity investment funds over the 1977-1999 period. Regardless of the benchmark portfolio or the performance measurement model, we find no evidence that Swiss-equity mutual funds, either individually or as a whole, provide investors with superior stock selection or market timing relative to a passively managed benchmark portfolio. We also found a negative correlation between selectivity and timing results. Finally, the influence of asset size, funds age and management fees are considered as an explanation of the results.

JEL Classification: G11, G20

Suggested Citation

Lhabitant, Francois-Serge, On Swiss Timing and Selectivity: In the Quest of Alpha (June 2001). FAME Working Paper No. 27. Available at SSRN: https://ssrn.com/abstract=274628 or http://dx.doi.org/10.2139/ssrn.274628

Francois-Serge Lhabitant (Contact Author)

Kedge Capital Fund Management ( email )

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HOME PAGE: http://www.lhabitant.net

EDHEC Business School ( email )

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Nice, 06200

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