PT  - JOURNAL ARTICLE
AU  - Mao-Wei Hung
AU  - Yin-Ching Jan
TI  - Sharpe Timing Ratio
AID  - 10.3905/joi.2005.605285
DP  - 2005 Nov 30
TA  - The Journal of Investing
PG  - 75--79
VI  - 14
IP  - 4
4099  - https://pm-research.com/content/14/4/75.short
4100  - https://pm-research.com/content/14/4/75.full
AB  - Many researchers have advocated measuring market timing performance by measuring the extent to which fund realized investment weight-shift is consistent with the realized asset return. However, the weight-shift approach ignores the market timing risk, which comes from the variation in market return. This article proposes a new measure, the Sharpe timing ratio, which incorporates the market timing risk into the measurement of market timing performance. Using an example, the authors demonstrate that compared with the weight-shift approach, the Sharpe timing ratio yields results that are more consistent with market realities in timing-risk scenarios