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Evidence in Support of Shorter-Term
Market Timing

Haim A. Mozes and Serge Cooks
The Journal of Wealth Management Fall 2012, 15 (2) 36-48; DOI: https://doi.org/10.3905/jwm.2012.15.2.036
Haim A. Mozes
is a senior consultant at SMC Investments and an associate professor of accounting at Fordham GBA in New York, NY.
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  • For correspondence: hm@smcinvest.com
Serge Cooks
is a quantitative analyst at SMC Investments in New York, NY.
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  • For correspondence: scooks@smcinvest.com
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Abstract

In this article, the authors provide evidence that market timing is possible over the shorter time periods that institutional asset allocation approaches typically consider. The evidence is based on the performance of components typically used in quantitative market timing approaches as well as the finding that hedge funds have successfully practiced market timing over the past 20 years and that market timing is the source of at least half of hedge fund alpha.

TOPICS: Real assets/alternative investments/private equity, quantitative methods, performance measurement

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The Journal of Wealth Management: 15 (2)
The Journal of Wealth Management
Vol. 15, Issue 2
Fall 2012
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Evidence in Support of Shorter-Term
Market Timing
Haim A. Mozes, Serge Cooks
The Journal of Wealth Management Jul 2012, 15 (2) 36-48; DOI: 10.3905/jwm.2012.15.2.036

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Evidence in Support of Shorter-Term
Market Timing
Haim A. Mozes, Serge Cooks
The Journal of Wealth Management Jul 2012, 15 (2) 36-48; DOI: 10.3905/jwm.2012.15.2.036
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  • Article
    • Abstract
    • THE POTENTIAL USEFULNESS OF MARKET TIMING
    • EVIDENCE IN SUPPORT OF MARKET TIMING
    • QUANTITATIVE SIGNALS
    • SUMMARY AND CONCLUSION
    • ENDNOTES
    • REFERENCES
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