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The Journal of Wealth Management

The Journal of Wealth Management

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Primary Article

On the Market Timing of Hedge Fund Managers

Greg N. Gregoriou, Fabrice Rouah and Komlan Sedzro
The Journal of Wealth Management Summer 2002, 5 (1) 26-38; DOI: https://doi.org/10.3905/jwm.2002.320431
Greg N. Gregoriou
A Ph.D. candidate in finance at the University of Quebec in Montreal. ggregoriou@sympatico.ca
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  • For correspondence: ggregoriou@sympatico.ca
Fabrice Rouah
A lecturer in mathematics and statistics at McGill University in Montreal. rouah@math.mcgill.ca
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  • For correspondence: rouah@math.mcgill.ca
Komlan Sedzro
Professor of finance and director of the Master's Program in Applied Finance at the University of Quebec in Montreal. sedzro.k@uqam.ca
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  • For correspondence: sedzro.k@uqam.ca
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Abstract

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.

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The Journal of Wealth Management
Vol. 5, Issue 1
Summer 2002
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On the Market Timing of Hedge Fund Managers
Greg N. Gregoriou, Fabrice Rouah, Komlan Sedzro
The Journal of Wealth Management Apr 2002, 5 (1) 26-38; DOI: 10.3905/jwm.2002.320431

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On the Market Timing of Hedge Fund Managers
Greg N. Gregoriou, Fabrice Rouah, Komlan Sedzro
The Journal of Wealth Management Apr 2002, 5 (1) 26-38; DOI: 10.3905/jwm.2002.320431
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