Security Timing Ability and Fund Manager Performance
21 Pages Posted: 31 May 2007 Last revised: 24 Sep 2008
Date Written: September 23, 2008
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: Suggested Citation