Sluis, P.J. van der

market return timing exposure model market exposure manager selectivity skill market return component turnover expense performance sample management ratio investor asset estimate expense ratios result stock fund managers fund returns period allocation decomposition market exposures percent equation timing ability month macro parameter expert ferson table expense ratio performance evaluation models ability fund return figure factor information evaluation asset allocation funds journal stock market order change portfolio timing skill importance schadt expert timing finance market timing asset allocation coecient mean-reversion management skill variable manager skill lockwood turnover funds panel group wells fargo expert market timing kadiyala spread estimation investment signi...cant period t estimation results variation timing component dierence