[en] The Treynor and Mazuy framework is a widely used return-based model of market timing, but existing corrections of the regression intercept can be manipulated through derivatives trading. We propose an adjustment based on Merton's option replication approach. The linear and quadratic coefficients of the regression are exploited to assess the cost of the replicating option that yields similar convexity for a passive portfolio. A similar reasoning applies for various timing patterns and in multi-factor models. Our empirical application shows that, unlike existing performance adjustment methods, the portfolio replication approach uncovers a positive link between the convexity and the performance of market timing funds.