Evidence in Support of Shorter-Term
Market Timing

Abstract

In this article, the authors provide evidence that market timing is possible over the shorter time periods that institutional asset allocation approaches typically consider. The evidence is based on the performance of components typically used in quantitative market timing approaches as well as the finding that hedge funds have successfully practiced market timing over the past 20 years and that market timing is the source of at least half of hedge fund alpha.

TOPICS: Real assets/alternative investments/private equity, quantitative methods, performance measurement