英文标题：
《The Mathematics of Market Timing》
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作者：
Guy Metcalfe
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最新提交年份：
2017
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英文摘要：
  Market timing is an investment technique that tries to continuously switch investment into assets forecast to have better returns. What is the likelihood of having a successful market timing strategy? With an emphasis on modeling simplicity, I calculate the feasible set of market timing portfolios using index mutual fund data for perfectly timed (by hindsight) all or nothing quarterly switching between two asset classes, US stocks and bonds over the time period 1993--2017. The historical optimal timing path of switches is shown to be indistinguishable from a random sequence. The key result is that the probability distribution function of market timing returns is asymetric, that the highest probability outcome for market timing is a below median return. Put another way, simple math says market timing is more likely to lose than to win---even before accounting for costs. The median of the market timing return probability distribution can be directly calculated as a weighted average of the returns of the model assets with the weights given by the fraction of time each asset has a higher return than the other. For the time period of the data the median return was close to, but not identical with, the return of a static 60:40 stock:bond portfolio. These results are illustrated through Monte Carlo sampling of timing paths within the feasible set and by the observed return paths of several market timing mutual funds.
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中文摘要：
市场时机选择是一种投资技术，它试图不断地将投资转换为预测的资产，以获得更好的回报。成功的市场时机选择策略的可能性有多大？为了强调建模的简单性，我使用指数共同基金数据计算了1993年至2017年期间两种资产类别（美国股票和债券）之间的最佳时机（事后看来）季度转换的可行市场时机组合集。开关的历史最佳定时路径与随机序列是无法区分的。关键结果是，择时市场收益的概率分布函数是不对称的，择时市场的最高概率结果是低于中值的收益。换言之，简单数学表示，即使在考虑成本之前，市场时机选择更有可能输掉而不是赢。市场时机回报概率分布的中位数可以直接计算为模型资产回报的加权平均数，权重由每种资产的回报率高于另一种资产的时间分数给出。在数据期间，中值回报率接近但不完全相同于60:40的静态股票债券组合的回报率。这些结果通过对可行集合内的时间路径进行蒙特卡罗抽样以及几个市场时机共同基金的观察收益路径来说明。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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