Market Timing by Global Fund Managers

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