Monthly Measurement of Daily Timers

By Will Goetzmann, Jonathan E. Ingersoll, Zoran Ivković. Journal of Financial and Quantitative Analysis, 2000

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On the High Frequency Dynamics of Hedge Fund Risk Exposures (2013, unknown): “…have been other attempts to combine monthly returns and intramonthly information in fund performance evaluation, following an in uential paper by Goetzmann, Ingersoll, and Ivkovic (2000), which shows that Henriksson-Merton timing measures (discussed below) estimated from monthly data are biased…”
A nonparametric test of market timing (2003, unknown): “On the other hand, the magnitude of timing is reduced by about two-thirds for the TM and the HM methods, consistent with results by Goetzmann et al. (2000). At medium information quality and medium responsiveness, the average ĥ for the monthly and daily timer are 0.”
The performance of professional market timers: daily evidence from executed strategies (2001, background): “19 Goetzmann et al. (2000) andBollen andBusse (2001) both conclud e that the effectiveness of”
Portfolio Performance Manipulation and Manipulation-Proof Performance Measures (2007, unknown): “Goetzmann et al. (2003) show that the high water mark contract, the most common type in the hedge fund industry, effectively leaves the investor short 20% of a call option.”