Performance, Stock Selection and Market Timing of the German Equity Mutual Fund Industry
“When using the Fama-French three factor (3F) model (with no market timing) we find at most 0.5% of funds have truly positive alpha-performance and about 27% have truly negative-alpha performance.”
AssetEquitiesfunds
StrategyMarket timing
TechniqueLinear factor model
GeographyEurope
Also stated: Monthly, 1990–2009, Alpha, multiple testing
Missing from abstract: benchmark, out-of-sample test, costs, universe
Institutional-grade audit of this strategy.
£5 — Request the audit- Audit of the paper claims accounting for costs, luck, crises, originality, geography, etc.
- Reproduction code integratable into Bloomberg, IBKR, etc.
- Bias-free datasets for backtesting included
- Delivered in 2 working days
The paper's neighbourhoodMarket timing and tactical asset allocation by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| Performance of Funds of Funds (FOFs) in Brazil by Rochman and Eid | 2024 | ||||
| A New Anomaly: The Cross-Sectional Profitability of Technical Analysis by Han et al. | 2013 | ||||
| Performance Measurement with Market and Volatility Timing and Selectivity by Ferson | 2012 | ||||
| The Market Timing Skills of Hedge Funds During the Financial Crisis by Cavé et al. | 2011 | ||||
| Anomaly Timing by Basu and Hung | 2008 |