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.
- © 2004 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600