I am researching historical practices of mutual fund market timing for
the period prior to September 2003.  This is an investment approach
that involves rapidly switching funds between an equity mutual fund
and a money market mutual fund.  Since September of 2003 there has
been an industry wide crack down on the practice of mutual fund market
timing and a number of mutual funds have paid large settlements to the
SEC to settle charges that they allowed market timing that was not in
the best interest of mutual fund shareholders.

The particular angle that I am researching is the extent to which
mutual fund market timing was an out in the open accepted investment
alternative in the months and years prior to September 2003.  Over the
years a number of investment books have been published recommending
mutual fund market timing as a way to increase investment returns and
reduce volatility.  There have been a number of newsletters that an
investor could subscribe to in order to get recommendations as to when
to switch into and out of specific mutual funds.  For an additional
fee, some newsletters would send an investor a fax or e-mail alert
advising them when to make a mutual fund switch.  There were also
software programs that could be purchased or leased advising an
investor when to make a mutual fund switch.

What I am specifically looking for is 4 types of reference:

1. Books that have been published which recommended investment
techniques for market timing mutual funds.  The entire book need not
be on the topic of mutual fund market timing so long as there is an
in-depth discussion of how to market time mutual funds in one or more
chapters of the book. For example the widely popular book "Market
Wizards" devoted several chapters to mutual fund market timing.

2. Newsletters that were available on a subscription basis which made
specific recommendations for when to buy and sell mutual funds in a
market timing investment program. The newsletter may no longer be in
circulation, but it would be sufficient to get a the name and the last
available contact information for the publication.

3. Services that would actually give an investor a phone call, fax or
e-mail recommending a mutual fund market timing switch.

4. Computer programs that could be purchased or leased to provide
specific signals for when to purchase and when to sell mutual funds as
part of a market timing investment approach to mutual fund investing.

Although all four of these are related questions and likely could be
answered by a single researcher I would like specific and detailed
research on all 4 categories.  Accordingly I am submitting this same
research question with 4 separate headings so that I can offer a $200
research project for each category of reference.

In this specific question I am asking for research on topic ONE: books
dealing with market timing.

Thank you for your help.

---

Request for Question Clarification by pafalafa-ga on 14 Jul 2004 19:41 PDT

s17-ga,

Thank you for your various questions on this topic, which is both
interesting and timely.

I have identified quite a number of books that deal with the subject
matter at hand -- market timing as applied to investments in mutual
funds.

What I would like to ask at this point is...what should I do with the
list of books?

Without looking through the books one by one, it is impossible to know
just how in-depth they are on your topic.  For instance, I have a
listing for:

The RSL Market Timing Method 
by Humphrey E. D. Lloyd
1991

which (as is obvious from the title) deals with market timing, and
also -- from the databases I have consulted -- deals with mutual funds
as well.  Without tracking down an actual copy of this book, however,
I cannot tell how in-depth the discussion is, and how relevant -- or
not -- it is to your interests?

If you would like me to check the actual books, I can do so for a
small number.  Even at the generous price you have offered for this
question, I would only be able to check and confirm the content of
somewhere in the vicinity of 10-20 books.

Or...I could provide a longer list of books that -- like the book
listed above -- certainly seem to be on-target.  But I would not be
able to confirm each and every book on the list.

I would appreciate your advice on how to proceed.

Thanks,

pafalafa-ga

---

Clarification of Question by sl7-ga on 15 Jul 2004 10:38 PDT

Thank you for your question.  If you were able to review 10 books and
determine that they in fact deal with market timing mutual funds, I
would be overwhelmed. I suspect that there are a good number of books
in print that deal with market timing in stocks, bonds and futures as
opposed to market timing in mutual funds, so it probably is necessary
preview the book in some fashion to determine its subject matter.  I
think Amazon lets you preview portions of books before you buy them,
but that is something you would know a lot more about than me.  I am
looking specifically for market timing mutual funds.  I would like an
exhaustive research of this topic, and I don't expect you to spend an
inordinate amount of time researching for just $200, so I would be
willing to say that the job is complete if you come up with 5 books
that deal with short term market timing.  If I like the 5 you have
recommended, I will submit another $200 question asking for another 5
references, since I believe the way Google works the most I can pay
for any one question is $200.  What I am looking for is books that
discuss and advocate an investment approach that involves trading in
and out of mutual funds on a daily or weekly basis to capture shore
term market moves, as opposed to an approach that moves a couple times
a year to time long term market moves. Please also provide contact
information on where I can purchase the book.  If available a source
to purchase the books on line would be most convenient.

If you can think of a better way for me to structure payment for the
research I am looking for please let me know.  I appreciate your help.

---

Request for Question Clarification by pafalafa-ga on 16 Jul 2004 08:52 PDT

Hello again,

Just wanted to provide you a bit of an update.

I've identified a fair number of books that look to be good candidates
for the topic at hand...I want to spend a bit more time looking into
them, and confirming that they meet your needs before posting the
list.  I hope to have an answer to your question this weekend.

By the way, in the course of my work, I have come across a good deal
of newspaper and magazine article and other materials -- many of them
from the 1990's and earlier -- that discuss this topic as well.  I
CANNOT post the full articles on line, since they are protected by
copyright.  But I could certainly provide citations and a brief
summary, if this would be of interest to you.

If you would like the article information, I suggest you post a
separate question to my attention (Attn: pafalafa-ga), and I'll be
glad to pull it all together and post an in-depth answer (the
articles, by the way, are much easier to work with than books, as they
are fully available on-line, so there is no problem confirming their
content).

Let me know what you think.

pafalafa-ga

s17-ga,

Whew!  This has been a project.

I've found a number of books that appear to meet your needs.  I've
listed them below, along with links to information about the book  --
either reader comments, jacket blurbs, or information from the book
itself.

I've also included links to sites to purchase the books, where such links exist.  

In the course of my searching, I also came across a number of fairly
academic articles on the topic of market timing as applied to mutual
fund management or investing -- I've included these here  as well,
since they did not seem to fit neatly into any particular category
(books, newsletters, etc) that you had asked about in any of your
questions, yet I thought you would be interested in them just the
same.

Once again, please let me know if you feel a need for any additional
information.  Just tell me how I can help, and I am at your service.

pafalafa-ga


==========


http://books.global-investor.com/books/0900.htm?ginPtrCode=18192


The RSL Market Timing System
How to Pinpoint Market Turns in Mutual Funds, Futures and Options  
by Humphrey Lloyd  

Windsor Books, 1991 

"A powerful new timing method, designed to give each investor the
ability to call market turns as they occur.   Tested for over ten
years in mutual funds, the method has produced profits on better than
4 out of 5 trades. More important, gains are more than ten times
larger than losses. "

http://www.amazon.com/exec/obidos/tg/detail/-/093023345X/qid=1090104164/sr=1-1/ref=sr_1_1/103-3052143-4352655?v=glance&s=books
[book can be ordered from the above link]

A time-tested, disciplined approach to trading the market. Unique
market timing method applies to mutual funds, stocks, and futures.
Utilizes a combination of indicators, some classic and several totally
new, that work in real-time trading. Includes a detailed performance
record that verifies the system's accuracy. Step-by-step rules are
presented.



==========

Market Timing With No-Load Mutual Funds: Low-Risk High Return
Investing With No Commissions
by Paul A. Merriman 
H. Holt (1987) 


http://www.amazon.com/exec/obidos/ASIN/0913539015/amzna9-1-20/ref=nosim/103-3052143-4352655?dev-t=D26XECQVNV6NDQ%26camp=2025%26link_code=xm2
[book can be ordered at the above link]

Merriman is editor and publisher of The Fund Exchange [making] a case
for the long term advantage of repeatedly purchasing mutual funds at
periodic low prices and selling at -- guess what -- higher prices. The
key to identifying ideal times to take action, they say, is to track
moving averages of fund prices.


==========



"The New Mutual Fund Investment Advisor," by Richard Dorf. 
Probus Publishing. 1991. 

Chapter 7 is devoted to Market timing of Mutual funds. 

[thanks to umiat-ga for this one!]


==========


http://books.global-investor.com/books/15483.htm?ginPtrCode=18192&identifier=f2fed7ec26cd239581316470f4cf7ee7

Power Investing with Sector Funds
Mutual Fund Timing and Allocation Strategies
Peter Madlem
St Lucie Press, 1st edition, 1998 

"By learning to read the direction and strengths of the market, even
novice mutual fund investors can outperform the best stock pickers.
That's because up to 90 percent of a stock's price movement is
determined by trends in the market or the industry-not in the
qualities of the company.   By using point-and-figure charting
techniques, Power Investing With Sector Funds supplies a simple and
effective way to gauge the ebb-and-flow of the stock market, and ways
to invest in the best-performing sectors at the right time, both in
the U.S. and abroad."

Detailed table of contents can be found here:
http://www.loc.gov/catdir/toc/97-39485.html

Book can be purchased here:
http://www.amazon.com/exec/obidos/tg/detail/-/0814404049/qid=1090105220/sr=1-1/ref=sr_1_1/103-3052143-4352655?v=glance&s=books

...only Power Investing with Sector Funds supplies a simple and
effective technique for gauging ebbs and flows in the market -- and
investing in the best-performing sectors at the right time, both in
the U.S. and abroad.

...With the help of four technical tools -- charting, trend lines,
20-week moving averages, and relative strength -- the book completely
covers the principles of diversification, asset allocation, and sector
investing. Best of all, the system outlined here takes just 15 minutes
a day and is a boon for both independent investors and professionals.


==========


http://books.global-investor.com/books/16498.htm?ginPtrCode=18192&identifier=f2fed7ec26cd239581316470f4cf7ee7

50 Ways to Mutual Fund Profits 
by Alan Lavine  
McGraw-Hill Higher Ed., 1998 

50 Ways to Mutual Fund Profits provides explanations of 50 of the best
mutual fund strategies. These strategies, ranging from very
conservative to very aggressive, cover virtually every approach to
mutual fund investing.

Specific topics include: 

--Momentum investing approaches; 
--Mutual fund switching tactics...

The book can be purchased here:
http://www.amazon.com/exec/obidos/tg/detail/-/0786311738/103-3052143-4352655?v=glance


==========

http://books.global-investor.com/books/18130.htm?ginPtrCode=18192&identifier=f2fed7ec26cd239581316470f4cf7ee7

Investment Management: Portfolio Diversification, Risk and Timing -
Fact and Fiction
by Robert Hagin 

John Wiley & Sons, 2004 
Timing is discussed throughout the book...Chapter 35 deals
specifically with mutual funds.

==========

http://www.wiley.com/WileyCDA/WileyTitle/productCd-0471394262,descCd-tableOfContents.html
[book can be purchased here]

The Worldly Investor's Guide to Beating the Market 
by Ben Warwick  
John Wiley & Sons, 1st edition, 2001 

The Wordly Investor Guide to Beating the Market, offers individual
investors twelve highly effective yet simple market-beating strategies
that cover the full range of stock trading, including momentum,
growth, value, distressed stocks, and exchange-traded funds.

- A method for selecting the mutual fund with the best odds of
producing market-beating returns in the next twelve months


Chapter 12. Market Timing Strategies with Mutual Funds and Exchange-Traded Funds 

http://media.wiley.com/product_data/excerpt/62/04713942/0471394262.pdf

In Part Four, Warwick provides a thorough guide to selecting mutual
funds and an incisive overview of the market timing strategies most frequently
used by mutual fund and exchange-traded fund investors.


==========

http://books.global-investor.com/books/0880.htm


A New Look at Technical Analysis 
by Robert McCullough  

USA Import, 1st edition, 1994 

There's big money to be made by learning how to time market trades.
Timing markets means learning how to use charting and technical
analysis tools.

Chapter 7.Trading Mutual Funds



==========



http://web.archive.org/web/20010418170842/http://home.earthlink.net:80/~rogerhagan/hopage/rhhopag2.htm

Mutual Fund Timing with Your Own Computer
Roger Hagan
2001
[NOTE:  this is a videotape "book"]

and a related page:

http://web.archive.org/web/20010417011729/home.earthlink.net/~rogerhagan/hopage/welcomeo.htm
Why I Time the Market and How I Do It.

==========

http://www.amazon.com/exec/obidos/tg/detail/-/0471030244/qid=1090112115/sr=1-1/ref=sr_1_1/103-3052143-4352655?v=glance&s=books

Panic-Proof Investing: Lessons in Profitable Investing from a Market Wizard 
Thomas F. Basso 
1994

Discusses timing throughout the book, as with this excerpt from page 47:


" ... in Atlanta, Neil Granite, told Jim about something called a
mutual fund timing program. This timing program moved money between
mutual funds based on trends measured by computer models....During
sideways markets, the program would jump in when the market moved up,
then jump out when the up move proved short-lived..."
 

====================

That's it for the books.  As for the academic articles I mentioned, they are:




Market Timing and Mutual Fund Performance: An Empirical Investigation
Roy D. Henriksson
The Journal of Business, Vol. 57, No. 1, Part 1. (Jan., 1984), pp. 73-96.

The evaluation of the performance of investment managers is a topic of
considerable interest to practitioners and academics alike. Using both
the parametric and non-parametric tests for the evaluation of
forecasting ability presented by Henriksson and Merton, the
market-timing ability of 116 open-end mutual funds is evaluated for
the period 1968-80. The empirical results do not support the
hypothesis that mutual fund managers are able to follow an investment
strategy that successfully times the return on the market portfolio.



==========



Measuring Fund Strategy and Performance in Changing Economic Conditions
Wayne E. Ferson; Rudi W. Schadt
The Journal of Finance, Vol. 51, No. 2. (Jun., 1996), pp. 425-461.

The use of predetermined variables to represent public information and
time-variation has produced new insights about asset pricing models,
but the literature on mutual fund performance has not exploited these
insights. This paper advocates conditional performance evaluation in
which the relevant expectations are conditioned on public information
variables. We modify several classical performance measures to this
end and find that the predetermined variables are both statistically
and economically significant. Conditioning on public information
controls for biases in traditional market timing models and makes the
average performance of the mutual funds in our sample look better.


==========



Market Timing, Selectivity, and Mutual Fund Performance: An Empirical Investigation
Cheng-Few Lee; Shafiqur Rahman
The Journal of Business, Vol. 63, No. 2. (Apr., 1990), pp. 261-278.

This article empirically examines market timing and selectivity
performance of a sample of mutual funds. It uses a very simple
regression technique to separate stock selection ability from timing
ability. This technique, first suggested by Treynor and Mazuy and
later refined by Bhattacharya and Pfleiderer, uses a modified
security-market line approach to produce individual measures of timing
and stock selection ability. The inputs to the model are only the
returns earned on the fund and those earned on the market portfolio.


==========


The Market-Timing Performance of Mutual Fund Managers
Stanley J. Kon
The Journal of Business, Vol. 56, No. 3. (Jul., 1983), pp. 323-347.

This paper proposes an empirical methodology for measuring the
market-timing performance of an investment manager and provides
evidence for a sample of mutual funds. The results indicate that at
the individual fund level there is evidence of significant superior
timing ability and performance. However, the multivariate tests were
not inconsistent with the efficient markets hypothesis. That is, fund
managers as a group have no special information regarding the
formation of expectations on the returns of the market portfolio.



==========


Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds
William Fung; David A. Hsieh
The Review of Financial Studies, Vol. 10, No. 2. (Summer, 1997), pp. 275-302

This article presents some new results on an unexplored dataset on
hedge fund performance. The results indicate that hedge funds follow
strategies that are dramatically different from mutual funds, and
support the claim that these strategies are highly dynamic. The
article finds five dominant investment styles in hedge funds, which
when added to Sharpe's (1992) asset class factor model can provide an
integrated framework for style analysis of both buy-and-hold and
dynamic trading strategies.


================================

Again, let me know if you need any additional information.  In
particular, I am well aware that different authors use the term
"mutual fund timing" in different ways.  If any of the materials here
miss the mark in terms of your own use of this term and your own
interests, let me know in what way, and I'll do my best to pinpoint
other sources that meet your needs.


Best of luck with you quest,

pafalafa-ga



Search strategy:  Searched several book, news, and journal databases,
as well as Google, for: [ "mutual funds" timing ]

---

Clarification of Answer by pafalafa-ga on 17 Jul 2004 19:10 PDT

I neglected to provide a link for one book:

http://www.amazon.com/exec/obidos/tg/detail/-/1557381577/103-3052143-4352655?v=glance

The New Mutual Fund Investment Advisor: Everything You Need to Know
About Investing in No-Loads
by Richard C. Dorf

Thank you for your work.  I have ordered most of the books you referenced.

One newsletter/advisory service that you shouldn't overlook is Janet
Brown's "No Load Fund-X" service.  Despite the weird name, Brown has
posted some fairly impressive returns.

Quoting from the following article,
http://moneycentral.msn.com/content/Investing/Mutualfunds/P39124.asp

"Mark Hulbert, whose Hulbert Financial Digest has tracked the
newsletter?s recommendations for decades, says that since 1989, it has
delivered the best risk-adjusted returns of any investment newsletter,
and the second-best returns overall. ?It?s one of the better
performers,? he says..

The Fund*X strategy is to identify the hottest funds over the last one
month to 12 months and to own them until their performance begins to
lag. That can happen in as little as three months, but above-market
performance can persist for more than a year."

Incidentally, Paul Merriman (mentioned earlier) doesn't claim to
outperform the market using timing strategies, but only to eliminate
some of the volatility of returns.

The major impediment to successfully implementing Brown's strategies
now seems to be the "crack down" on so-called "market timing" by hedge
funds and other big investors that had clout with the mutual funds.

In reality, this was more just straight out theft than market timing,
as the big hitters were exploiting the fact that funds are only
"marked to market" once a day. They would in effect do their own
calculation and "mark to market", or determine the value of a share of
the fund at the end of a day of trading, or at the end of a night of
trading for some of the overseas funds, and then they would either
buy, or sell, with the consent of the fund owner, before the fund set
the new price for the day based on their determination of value.

If you know they are going to raise the price of tomatoes tomorrow,
and you can buy some tomatoes cheap today, then you can make money
selling them at the new price tomorrow.

Unfortunately, the widespread misunderstanding of "market timing" as
being behind the abuses has led to a tightening of the restrictions on
legitimate fund trading for all investors. The result is that
implementing a strategy like Brown's is going to involve more
transaction costs than before.

s17-ga,

Thank you so much...both for the interesting questions you posted, and
your kind feedback on the answers.

I hope we'll get to hear more of the fruits of your research, after
you've had time to digest all the raw information a bit.

pafalafa-ga