Nobel laureate William F. Sharpe and others have alerted investors to the potential pitfalls of market timing. We also conclude from the study reported here that market timing is generally a difficult game. But the difficulty varies substantially over time-which has some intriguing implications for performance evaluation. Using a new measure of investment performance that we call the “roulette wheel” measure, we analyzed monthly, quarterly, and annual market-timing strategies in the 1926–99 period for six major U.S. asset classes. In the 1995–99 period, buying and holding large-capitalization stocks would have outperformed about 99.8 percent of the more than 1 million possible quarterly switching sequences between large-cap stocks and U.S. T-bills. In 1994, however, if 1,000 portfolio managers had made monthly random choices between large-cap stocks and T-bills, about 591 of them would probably have beaten a buy-and-hold strategy. If 650 of the 1,000 had beaten a buy-and-hold strategy, should all 650 have earned a bonus?