Market Timing by Global Fund Managers

39 Pages Posted: 5 Aug 2003

See all articles by Debra A. Glassman

Debra A. Glassman

University of Washington - Michael G. Foster School of Business

Leigh A. Riddick

American University - Kogod School of Business

Date Written: May 2003

Abstract

We analyze the market timing ability of U.S. global fund managers' in the late 80s and early 90s, before hedge funds became prominent in global investing. We examine both portfolio weights and returns to distinguish between world market timing (movements of funds between all equity markets and cash) and national market timing (movements out of one country's equity market into one or more other countries' equities). We find no evidence of world market timing, but strong evidence of national market timing. Earlier papers examining multi-country fund management find very little evidence of market timing ability, but they do not explicitly consider the difference in world and national timing. Our results suggest that it may be important to capture the distinction between the two types of global timing activity. Our methodology and results may also be pertinent to domestic papers that examine simultaneous movements between asset classes and cash.

Keywords: market timing, asset allocation, portfolio performance, international portfolio performance, global portfolio performance

JEL Classification: G11

Suggested Citation

Glassman, Debra A. and Riddick, Leigh A., Market Timing by Global Fund Managers (May 2003). Available at SSRN: https://ssrn.com/abstract=419520 or http://dx.doi.org/10.2139/ssrn.419520

Debra A. Glassman (Contact Author)

University of Washington - Michael G. Foster School of Business ( email )

Box 353200
Seattle, WA 98195-3200
United States

Leigh A. Riddick

American University - Kogod School of Business ( email )

4400 Massachusetts Avenue NW
Washington, DC 20816-8044
United States
202.885.1944 (Phone)

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