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The Journal of Portfolio Management

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On the Expected Performance of Market
Timing Strategies

Winfried G. Hallerbach
The Journal of Portfolio Management Summer 2014, 40 (4) 42-51; DOI: https://doi.org/10.3905/jpm.2014.40.4.042
Winfried G. Hallerbach
is a senior researcher at Quantitative Strategies, Robeco Investment Management, in Rotterdam, The Netherlands.
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  • For correspondence: w.hallerbach@robeco.com
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The Journal of Portfolio Management: 40 (4)
The Journal of Portfolio Management
Vol. 40, Issue 4
Summer 2014
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On the Expected Performance of Market
Timing Strategies
Winfried G. Hallerbach
The Journal of Portfolio Management Jul 2014, 40 (4) 42-51; DOI: 10.3905/jpm.2014.40.4.042

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On the Expected Performance of Market
Timing Strategies
Winfried G. Hallerbach
The Journal of Portfolio Management Jul 2014, 40 (4) 42-51; DOI: 10.3905/jpm.2014.40.4.042
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  • Article
    • Abstract
    • THE FUNDAMENTAL LAW OF ACTIVE MANAGEMENT
    • PROPORTIONAL BET SIZES
    • DIRECTIONAL FORECASTS
    • CROSS-SECTION VERSUS TIME-SERIES BREADTH
    • SOME EXTENSIONS
    • EMPIRICAL ILLUSTRATION
    • SUMMARY
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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