Market Timing.pdf

Market-Timing-Sin-a-Little.pdf
Preview of Market Timing
🔗 Source: aqr.com
📊 Size: 390 KB
👤 Author: Yoshio Nitta (TMD Univ. JP) 5051 2004 Feb 18 19:56:25
⬇️ Downloads: 525

Summary

Market timing strategies based on valuation ratios have underperformed in recent decades despite strong in-sample statistical evidence, due to drifting valuations and fighting against successful shorter-term momentum strategies. Adding a dose of momentum can improve the risk-adjusted performance of contrarian market timing strategies, with a combination of both contrarian and momentum indicators recommended for modest market timing tilts.

Description

Market timing strategies based on valuation ratios have underperformed in recent decades despite strong in-sample statistical evidence, due to drifting...

Technical Information

  • File Format: PDF
  • File Size: 390 KB
  • Pages: 18
  • Language: EN
  • Author: Yoshio Nitta (TMD Univ. JP) 5051 2004 Feb 18 19:56:25
  • Total Downloads: 525
  • Last Updated: 2 weeks ago

Document Overview

This PDF document about Market Timing provides comprehensive information and guidance. Whether you're a beginner or advanced user, this resource offers valuable insights into Market Timing.

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