caa a22 4500 386309116 CHVBK 20190412221953.0 cr unu---uuuuu 161130e198812 xx s 000 0 eng 10.2307/2331081 doi S0022109000013259 pii (NATIONALLICENCE)cambridge-10.2307/2331081 Performance Evaluation of Market Timers: Theory and Evidence [Elektronische Daten] Previous investigators have shown that the Sharpe measure of the performance of a managed portfolio may be flawed when the portfolio manager has market timing ability. Herein we develop the exact conditions under which the Sharpe measure will completely and correctly order market timers according to ability. The derived conditions are necessary, sufficient, and observable. We compare these derived conditions to empirical estimates of actual market conditions and find that, under typical market conditions, the practice of using quarterly portfolio return data will frequently result in a failure of the Sharpe measure to order timers according to ability. We show, however, that such failures can be greatly reduced by more frequent sampling of managed portfolio returns. Copyright © School of Business Administration, University of Washington 1988 Kane Alex Marks Stephen Gary Journal of Financial and Quantitative Analysis Cambridge University Press 23/4(1988-12), 425-435 0022-1090 23:4<425 1988 23 JFQ https://doi.org/10.2307/2331081 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331081 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Kane Alex NATIONALLICENCE 700 1- Marks Stephen Gary NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 23/4(1988-12), 425-435 0022-1090 23:4<425 1988 23 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence SWISSBIB 386309116 BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge