Measuring the timing ability of mutual fund managers

DOI10.1023/A:1018980918976MaRDI QIDQ1290198zbMATH OpenOpenAlexFDO

Authors K. Appert

Publication date 10 June 1999

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1018980918976

zbMATH Keywords

mutual fundtiming abilityTreynor-Mazuy index

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cited in

(4)

• Nonparametric tests for market timing ability using daily mutual fund returns
• Seasonality and idiosyncratic risk in mutual fund performance
• The Performance of Market Timing Measures in a Simulated Environment *
• Fooled by Randomness: Investor Perception of Fund Manager Skill*

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