On Swiss Timing and Selectivity: In the Quest of Alpha

François-Serge Lhabitant
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François-Serge Lhabitant: HEC-University of Lausanne and Thunderbird, The American Graduate School of International Management

FAME Research Paper Series from International Center for Financial Asset Management and Engineering

Abstract: This paper presents an overview of the theories underlying the major portfolio performance measurement models, with an empirical application to assess the market timing and stock-picking abilities of an exhaustive sample of 60 Swiss-equity investment funds over the 1977-1999 period. Regardless of the benchmark portfolio or the performance measurement model, we find no evidence that Swiss-equity mutual funds, either individually or as a whole, provide investors with superior stock selection or market timing relative to a passively managed benchmark portfolio. We also found a negative correlation between selectivity and timing results. Finally, the influence of asset size, funds age and management fees are considered as an explanation of the results.

Date: 2001-07
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