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Primary Article

Are Managers of Funds of Hedge Funds Good Market Timers?

Greg N. Gregoriou
The Journal of Wealth Management Winter 2004, 7 (3) 61-76; DOI: https://doi.org/10.3905/jwm.2004.450961
Greg N. Gregoriou
Assistant professor of finance and coordinator of faculty research at the State University of New York (Plattsburgh).
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Abstract

The author gathers evidence about the market-timing skills of fund of funds (FOF) managers during the 1993-2001 period using FOF indices as benchmarks. He uses the Treynor-Mazuy (1966) (TM) and the Henriksson-Merton (1981) (HM) unconditional and conditional market-timing models and follows the methods used by Ferson and Warther (1996) and Ferson and Schadt (1996). By conditioning betas, the author investigates whether FOF managers can in times of changing economic conditions successfully interpret publicly available market information to their benefit using public information variables. He examines FOF returns with public information variables using the TM and HM models.

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The Journal of Wealth Management
Vol. 7, Issue 3
Winter 2004
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Are Managers of Funds of Hedge Funds Good Market Timers?
Greg N. Gregoriou
The Journal of Wealth Management Oct 2004, 7 (3) 61-76; DOI: 10.3905/jwm.2004.450961

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Are Managers of Funds of Hedge Funds Good Market Timers?
Greg N. Gregoriou
The Journal of Wealth Management Oct 2004, 7 (3) 61-76; DOI: 10.3905/jwm.2004.450961
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