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Stock Market Extremes and Portfolio Performance

Posted By Barry Ritholtz On March 25, 2005 @ 6:04 am In Investing,Markets | Comments Disabled

John Kuran points us to a study on Stock Market Extremes and Portfolio Performance.

click for larger graphic

Bestworst_chart [1]

Graphic courtesy Towneley Market Timing Study [2]

While one frequently hears T-Heads mentioning how performance drops if/when investors miss the best periods in the market, one rarely hears mention of missing the worst. I recall Tom Dorsey (of DWA [3]) discussing this some years ago.

Note that same market index performance of 12% per year (discussed prior via Jeremy Siegel [4]) requires a very long duration to assure that level of performance.

Stock Market Extremes and Portfolio Performance [2]
Professor H. Nejat Seyhun, University of  Michigan
(commissioned by Towneley Capital Management)

Article printed from The Big Picture: http://www.ritholtz.com/blog

URL to article: http://www.ritholtz.com/blog/2005/03/stock-market-extremes-and-portfolio-performance/

URLs in this post:

[1] Image: http://bigpicture.typepad.com/.shared/image.html?/photos/uncategorized/bestworst_chart.gif

[2] Towneley Market Timing Study: http://www.towneley.com/html/study.htm

[3] DWA:

[4] Jeremy Siegel: http://bigpicture.typepad.com/comments/2005/03/excuse_for_bad_.html

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