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- W2015668982 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." @default.
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- W2015668982 date "2002-04-30" @default.
- W2015668982 modified "2023-10-14" @default.
- W2015668982 title "On the Market Timing of Hedge Fund Managers" @default.
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- W2015668982 doi "https://doi.org/10.3905/jwm.2002.320431" @default.
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