Market timing and share returns

The relationships between business cycle peaks and troughs and turning points in two value indices based on the JSE All Share Index and Industrial Index are examined. It is shown that ex post and ex ante estimates of cyclical peaks and troughs based on share value indices lead the business cycle in an inconsistent way. However, timing strategies, based on forecasting the business cycle and switching between equities and treasury bills or equities and bonds around cyclical turning points have produced better than average returns.