Value Funds Timing

Investors and analysts like to identify market classes to bet against.  But it also pays to find managers to bet with...even sometimes to mimic.  This is the basis of our Prime Timers analysis, where we track the equity exposure paths of six guru analyst-managers.

In 2009 we added a new entry on the Prime Timers page; Value Funds Aggregate exposure.  The aggregate Value exposure path shows definite timing skill.  The bar chart shows average one-month forward S&P returns from each exposure decile over ten years.

 

 

There is aplainly positive correlation between Value Fund exposure and market outcome.  Bottom deciles (1 & 2) clearly imply negative expected returns.  Top deciles (8-9-10) clearly imply positive expected returns.  There is an anomaly at decile 3 (to be confirmed or contradicted in further analysis).

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