TY - JOUR T1 - On the Market Timing of Hedge Fund Managers JF - The Journal of Wealth Management SP - 26 LP - 38 DO - 10.3905/jwm.2002.320431 VL - 5 IS - 1 AU - Greg N. Gregoriou AU - Fabrice Rouah AU - Komlan Sedzro Y1 - 2002/04/30 UR - https://pm-research.com/content/5/1/26.abstract N2 - 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. ER -