全球智库信息集成服务系统(G2TT): Performance Evaluation of Market Timers

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w2640
来源ID	Working Paper 2640
	Performance Evaluation of Market Timers
	Alex Kane; Stephen Gary Marks
发表日期	1988-07-01
出版年	1988
语种	英语
摘要	Previous investigators have shown that the Sharpe measure of the performance of a managed portfolio may be flawed when the portfolio manager has market timing ability. We develop the exact conditions under which the Sharpe measure will completely and correctly order market timers according to ability. The derived conditions are necessary, sufficient, and observable. We compare them to empirical estimates of actual market conditions, and find that the circumstances which can lead to a failure of the Sharpe measure do in fact occur. We show, however, that such failures can be greatly reduced by more frequent sampling.
URL	https://www.nber.org/papers/w2640
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/559899
推荐引用方式 GB/T 7714	Alex Kane,Stephen Gary Marks. Performance Evaluation of Market Timers. 1988.