出版社：Investment Analysts Society of Southern Africa
摘要：Market timing is generally described as a strategy of switching between asset classes in anticipation of significant economic changes. In contrast to selecting individual securities for a portfolio, market timing seeks to switch or weight entire portfolios into particular asset classes. Jeffery (1984), in his seminal article titled “The Folly of Stock Market Timing”, showed that perfect timing ability in switching between an equity index on the NYSE and cash for the period 1926 - 1982 would have produced an annualised return of 10,8% above the S&P 500 return. However, he noted that if all timing decisions were incorrect, the return would have dropped to 17,6% below that of the S&P 500. He concluded that the risks assumed by market timer were not in proportion to the incremental rewards that could be gained. The maximum potential losses were almost double the maximum potential upside gains. Jeffrey (1984:102) commented that "no one can predict the market's ups and downs over a long period, and the risks of trying outweigh the rewards".
