TY  - JOUR
AU  - Kane,Alex
AU  - Marks,Stephen Gary
TI  - Performance Evaluation of Market Timers
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 2640
PY  - 1988
Y2  - July 1988
UR  - http://www.nber.org/papers/w2640
L1  - http://www.nber.org/papers/w2640.pdf
N1  - Author contact info:
Alex Kane
Graduate School of IRPS/D-019
University of California, San Diego
La Jolla, CA   92093-0519
Tel: 619/534-5969
E-Mail: akane@ucsd.edu
AB  - 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.
ER  -