We investigate the performance of the German equity mutual fund industry over 20years (monthly data 1990–2009) using the false discovery rate (FDR) to examine both model selection and performance measurement. When using the Fama–French three factor (3F) model (with no market timing) we find...

Market timing is the ability of portfolio managers to anticipate stock market return by increasing (decreasing) portfolio sensitivity in upward (downward) markets. To assess market timing, the financial literature has proposed return-based and holdings-based measures. Our objective is to analyze...