Market and Style Timing: German Equity and Bond Funds

Abstract We apply parametric and non‐parametric estimates to test market and style timing ability of individual German equity and bond mutual funds using a sample of over 500 equity and 350 bond funds, over the period 1990–2009. For equity funds, both approaches indicate no successful market timers in the 1990–1999 or 2000–2009 periods, but in 2000–2009 the non‐parametric approach gives fewer unsuccessful market timers than the parametric approach. There is evidence of successful style timing using the parametric approach, and unsuccessful style timing, particularly in the 2000–2009 period. There is evidence of positive and negative bond timing in the 2000–2009 period.