Bridge over ocean
1 January 1999 Financial Analysts Journal Volume 55, Issue 1

Equity Style Timing (corrected)

  1. Duen-Li Kao
  2. Robert D. Shumaker

The studies reported here had two purposes: (1) to review the opportunities in short-term timing strategies in the U.S. market and (2) to explore value versus growth investing in theory and in practice. We found that timing strategies in the U.S. market based on asset class and size have historically provided more opportunity for outperformance than a timing strategy based on value (versus growth), albeit with similar information ratios. A multivariate macroeconomic analysis shows that return differences between value and growth stocks can have a straightforward, intuitive basis. In practice, the approach of style timers may vary, but successful style timing depends on efficient implementation.

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