Market timing and mutual fund portfolio composition

This study uses a methodology that is independent of beta estimates to provide empirical evidence on the success of market timing by mutual fund managers. A fund's success at market timing is evaluated by determining if the percentage of the portfolio invested in stocks increases prior to an upturn in the general level of stock market prices and declines prior to a downturn in the level of stock prices. No evidence is found that managers possess, as a group, any market timing ability.