Monthly Measurement of Daily Timers

William Goetzmann, Jonathan Ingersoll and Zoran Ivkovich

Yale School of Management Working Papers from Yale School of Management

Abstract: This paper addresses the bias associated with parametric measurement of timing skill based on monthly timer returns when timers can make daily timing decisions. Simulations suggest that the classic Henriksson-Merton parametric measure of timing skill is weak and biased downward when applied to the monthly returns of a daily timer. The paper proposes an adjustment that mitigates this problem without the need to collect daily timer returns. Four tests of timing skill, carried out on a sample of 558 mutual funds, show that very few funds exhibit statisticall

Date: 1998-04-01, Revised 2000-10-01
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