, we are among the first to apply this multifactor timing model to investigate equity and bond market timing simultaneously …This paper examines the ability of balanced pension plan managers to successfully time the equity and bond market and … select the appropriate assets within these markets. In order to evaluate both market timing abilities in these balanced …

benchmark. The manager’s exposure to risk is controlled by means of a tracking error volatility constraint. It depends on market … conditions whether this constraint is easily met or violated. Moreover, the performance of the portfolio depends on market … portfolio opportunity set depends on contemporary market dynamics. To correct for this, we suggest a normalized version of the …

We decompose the conditional expected mutual fund return in five parts. Two parts, selectivity and expert market timing …, can be attributed to manager skill, and three to variation in market exposure that can be achieved by private investors as … well. The dynamic model that we use to estimate the relative importance of the components in the decomposition is a …