The performance of professional market timers: daily evidence from executed strategies

We examine the performance of 30 professional market timers during 1986-1994. Prior studies have analyzed implicit recommendations from mutual fund returns or explicit recommendations from newsletters. We analyze explicit recommendations executed in customer accounts. Using four tests, three benchmark portfolios., and daily data, we find significant unconditional and conditional ability that is robust with respect to transaction costs and survivorship bias. Relative ability persists and varies with the frequency of recommendation changes. When recommendations of successful timers are observed monthly instead or daily, significant ability generally disappears. Hence, the frequency with which recommendations are observed can change inferences regarding ability. (C) 2001 Elsevier Science S.A. All rights reserved.