An appropriate metric for the success of an algorithm to forecast the variance of the rate of return on a capital asset could be the incremental profit from substituting it for the next best alternative. We propose a framework to assess incremental profits for competing algorithms to forecast...

This paper examines the dissemination of market timing information (signals on the overall performance of risky assets relative to the risk free rate). We consider two delivery systems. Under the newsletter delivery system market timing information is disseminated solely through newsletter....

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. We develop the exact conditions under which the Sharpe measure will completely and correctly order market timers according to...

Active portfolio management is commonly partitioned into two types ofactivities: market timing, which requires forecasts of broad-based marketmovements, and security analysis, which requires the selection of individualstocks that are perceived to be underpriced by the market. Merton (1981)...