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Market timing and predictable profitability

Sophia Tarani & Foteini Kyriazi

International Journal of Portfolio Analysis and Management2024https://doi.org/10.1504/ijpam.2024.137851article
ABDC B
Weight
0.43

Abstract

We revisit the concept of market timing and offer some suggestive evidence that one can obtain predictable profitability via forecast-based trading. Using a minimal set of simple models and forecast combinations, we show how these models perform statistically with respect to one another and how their corresponding forecasts can lead to increased, predictable profitability vs. the passive buy and hold benchmark. Our results imply that, on the basis of trading performance, there is no reason that an investor should not consider model-based forecasts, even of the simplest kind.

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https://doi.org/https://doi.org/10.1504/ijpam.2024.137851

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@article{sophia2024,
  title        = {{Market timing and predictable profitability}},
  author       = {Sophia Tarani & Foteini Kyriazi},
  journal      = {International Journal of Portfolio Analysis and Management},
  year         = {2024},
  doi          = {https://doi.org/https://doi.org/10.1504/ijpam.2024.137851},
}

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Evidence weight

0.43

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.31 × 0.4 = 0.13
M · momentum0.55 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.