The timing ability of hybrid-funds of funds

被引：2

作者：

Rodríguez J. ^{[1
]}

机构：

[1] Graduate School of Business, University of Puerto Rico, Río Piedras Campus, San Juan

来源：

Journal of Asset Management | 2015年 / 16卷 / 1期

关键词：

Funds of funds; Hybrid funds; Market timing; Mutual funds;

D O I：

10.1057/jam.2014.38

中图分类号：

学科分类号：

摘要：

In this article, I measure and compare the equity and bond market timing ability of hybrid-funds of funds (FOFs) and traditional hybrid funds. Hybrid mutual funds are funds that are invested in a combination of stocks and bonds. Hybrid funds of mutual funds are those that hold shares of other equity and fixed-income mutual funds. This fundamental difference between these two types of hybrid funds makes them an ideal laboratory to examine their stock market timing ability. Using daily fund and index data, I implement a multi-factor timing model, which successfully controls for the fixed-income exposure of hybrids funds. I find that, as a group, hybrid funds failed to correctly time both the equity and bond markets. In addition, I find no difference between the market timing ability of hybrid-FOFs and traditional hybrids. © 2015 Macmillan Publishers Ltd.

引用

页码：70 / 78

页数：8

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