Market Timing - Independent Review of Market-timing Services

Independent Review of Market-timing Services

Several independent organizations (e.g., Timer Digest and Hulbert Financial Digest) have tracked some market timers' performance for over thirty years. These organizations have found that purported market timers in many cases do no better than chance, or even worse. However, there are exceptions, with some market timers over the thirty year period having performances that substantially and reliably exceed those of the general stock market or the sectors in which that the market timers invest. Jim Simons' Renaissance Technologies Medallion Hedge Fund has consistently outperformed the market. The fund allegedly uses mathematical models developed by Elwyn Berlekamp.

A recent study suggested that the best predictor of a fund's consistent outperformance of the market was low expenses and low turnover, not pursuit of a value or contrarian strategy. However, other studies have concluded that some simple strategies will outperform the overall market. One market-timing strategy is referred to as Time Zone Arbitrage.