Security Timing Ability and Fund Manager Performance

21 Pages Posted: 31 May 2007 Last revised: 24 Sep 2008

See all articles by David R. Gallagher

David R. Gallagher

Rozetta Institute

Andrew N. Ross

University of New South Wales (UNSW)

Peter L. Swan

University of New South Wales (UNSW Sydney; Financial Research Network (FIRN)

Date Written: September 23, 2008

Abstract

We propose a new measure of individual security timing ability as distinct from (aggregate) market timing ability. Security timing captures the proportion of potential returns generated by the fund manager over an evaluation period. Using a unique database of daily transactions, we examine the extent to which active fund managers are successful in timing their daily security entry and exit decisions. As hypothesized, we find that fund manager out-performance is significantly related to individual security timing.

Keywords: Security Timing, Daily Trading, Performance Evaluation

JEL Classification: G23

Suggested Citation

Gallagher, David R. and Ross, Andrew N. and Swan, Peter Lawrence, Security Timing Ability and Fund Manager Performance (September 23, 2008). Available at SSRN: https://ssrn.com/abstract=989867 or http://dx.doi.org/10.2139/ssrn.989867

David R. Gallagher

Rozetta Institute ( email )

Sydney

Andrew N. Ross

University of New South Wales (UNSW) ( email )

Kensington
High St
Sydney NSW 2052
Australia

Peter Lawrence Swan (Contact Author)

University of New South Wales (UNSW Sydney ( email )

School of Banking and Finance
UNSW Business School
Sydney NSW, NSW 2052
Australia
+61 2 9385 5871 (Phone)
+61 2 9385 6347 (Fax)

HOME PAGE: http://https://www.business.unsw.edu.au/our-people/peterswan

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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