When using the cash ratio change method, the ability of successful timing shows that the cash ratio or bond holding ratio of the fund is small in the bull market, while the cash ratio or bond holding ratio is large in the bear market.
Timing profit and loss = (actual allocation ratio of stocks-normal allocation ratio) * stock index yield+(actual allocation ratio of cash-normal allocation ratio) * cash yield.
For example, in a certain quarter, the Shanghai Composite Index rose by 20%, the cash return rate was 1%, the fund contract stipulated that the proportion of stock investment was 85%, and the proportion of cash or bond investment was 15%, but the actual proportion of stock investment was 70%, and the actual proportion of cash or bond investment was 30%, then the timing profit and loss of the fund was = (70%) * 20%+. The result is negative, indicating that the fund lost its investment because of the wrong timing activities.
2. Success probability method
The success probability method is a method to measure the timing ability of the fund by calculating the success probability of the fund in forecasting bull and bear markets.
Success probability = (correctly predicting bull market probability+correctly predicting bear market probability-1)* 100%.
For example, in 30 quarters, the market rises in 20 quarters and falls in 10 quarter. In the rising quarter of the market, there are 15 quarters in which the timing profit and loss of a fund is positive; In the quarter of market decline, there are eight quarters with positive timing gains and losses. Then the success probability = (15/20+8/10-1) *100% = 55%, and the result is obviously greater than 0, indicating that this fund has strong timing ability.
3. Quadratic method
Quadratic term method, that is, T-M model, the specific model is as follows:
Successful market selector can improve the beta value of his portfolio in the rising market and reduce the beta value of his portfolio in the falling market. If > 0, it shows that the fund manager has successful market selection ability.
4. Double Beta Method
Double beta method is based on the assumption that the combined beta value only takes two values under the condition of timing ability, that is, the bull market beta takes the larger value and the bear market takes the smaller value.
If it is positive, it means that it has the ability to time.
5.C-L model
Indicators reflect whether fund managers can correctly predict the positive and negative differences between market returns and risk-free returns (that is, whether they can correctly predict long or short markets), and then adjust the beta value of the portfolio to obtain better returns in different market environments.
According to CAPM, in the short market and the long market, the timing ability of fund managers can be judged by analyzing C.L. through test indicators. If the C.L. index is greater than 0, the fund portfolio will maintain a large beta value when the market excess return is positive, thus improving the return; When the market excess returns are negative, the beta value remains small, thus reducing losses. UCLA. The bigger the index, the better the timing ability of the fund.