The performance of professional market timers: daily evidence from executed strategies

Chance, Don M.; Hemler, Michael L.

doi:10.1016/s0304-405x(01)00081-2

Cited by 109 publications

(47 citation statements)

References 33 publications

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“…5. Following Chance and Hemler's (2001) argument that higher frequency data yield more significant results than lower frequency data, but recognising that the frequency of tactical asset allocation is constrained by expense, time and information requirements, the study employs monthly data to test the IAPE metric. See also Tezel and McManus (2001: 175 …”

Section: Resultsmentioning

confidence: 99%

Using an inflation-augmented price-earnings ratio to guide tactical asset allocation

Saville

2011

SAJEMS

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Asset allocation plays a central role in determining investment outcomes, and available evidence shows that portfolio results can be enhanced through tactical asset allocation if managers use the simple price-earnings ratio as a predictor of equity returns. Recently, some international evidence has emerged which shows that, by augmenting the price-earnings metric with information about consumer price inflation, further enhancements can be achieved in tactical asset allocation. This study reviews these arguments as they apply to South Africa, and finds that an inflation-augmented price-earnings ratio is more successful in forecasting equity returns than is the simple price-earnings ratio. Moreover, the metric is found to be significant in explaining relative asset class returns. On a risk-adjusted basis, however, the tool fails to improve the portfolio results when compared to a buy-and-hold strategy.

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Section: Resultsmentioning

confidence: 99%

Using an inflation-augmented price-earnings ratio to guide tactical asset allocation

Saville

2011

SAJEMS

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“…In particular, the consensus of studies that test fund returns for evidence of timing ability over daily horizons appears favorable (Busse, 1999;Bollen and Busse, 2001;Chance and Hemler, 2001;Fleming, Kirby, and Ostdiek, 2001). Such ability, however, likely has little to do with slower-moving macroeconomic information shown to be useful for predicting returns at a much longer horizon.…”

Section: Studies That Do Support Successful Market Timingmentioning

confidence: 99%

Do Fund Managers Make Informed Asset Allocation Decisions?

Breon-Drish

Sagi

2011

SSRN Journal

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“…We then estimate the weight recursively using an expanding sample. Chance and Hemler [2001] suggest that we can test market-timing abilities using Spearman's rank correlation between the weight of equities, . We consider the two specifications for γ ; however, as expected, Exhibit 1 shows that the market-timing ability test does not depend on γ .…”

Section: Market-timing Strategiesmentioning

confidence: 99%