PT  - JOURNAL ARTICLE
AU  - Greg N. Gregoriou
AU  - Fabrice Rouah
AU  - Komlan Sedzro
TI  - On the Market Timing of Hedge Fund Managers
AID  - 10.3905/jwm.2002.320431
DP  - 2002 Apr 30
TA  - The Journal of Wealth Management
PG  - 26--38
VI  - 5
IP  - 1
4099  - https://pm-research.com/content/5/1/26.short
4100  - https://pm-research.com/content/5/1/26.full
AB  - In this article, the authors evaluate whether directional hedge fund managers benefit from market timing in investment strategies. Analysis of a sample of current and defunct onshore and offshore funds does not reveal any significant market-timing alpha. Most hedge fund managers exhibit good security selection skill, which tends to be negatively correlated with market-timing ability, but not correlated with asset size or age of the fund. Tests of single- and multi-index models are consistent with published findings in the mutual fund literature that the hedge fund returns exhibit low correlation with market index returns.