TY - JOUR T1 - Sharpe Timing Ratio JF - The Journal of Investing SP - 75 LP - 79 DO - 10.3905/joi.2005.605285 VL - 14 IS - 4 AU - Mao-Wei Hung AU - Yin-Ching Jan Y1 - 2005/11/30 UR - https://pm-research.com/content/14/4/75.abstract N2 - Many researchers have advocated measuring market timing performance by measuring the extent to which fund realized investment weight-shift is consistent with the realized asset return. However, the weight-shift approach ignores the market timing risk, which comes from the variation in market return. This article proposes a new measure, the Sharpe timing ratio, which incorporates the market timing risk into the measurement of market timing performance. Using an example, the authors demonstrate that compared with the weight-shift approach, the Sharpe timing ratio yields results that are more consistent with market realities in timing-risk scenarios ER -