Timing is Money: The Factor Timing Ability of Hedge Fund Managers

2016 ◽  
Author(s):  
Bart Osinga ◽  
Marc Schauten ◽  
Remco C. J. Zwinkels
Keyword(s):  
Hedge Fund ◽  
Fund Managers ◽  
Timing Ability

Sentiment and the Effectiveness of Technical Analysis: Evidence from the Hedge Fund Industry

2016 ◽  
Vol 51 (6) ◽  
pp. 1991-2013 ◽  
Author(s):  
David M. Smith ◽  
Na Wang ◽  
Ying Wang ◽  
Edward J. Zychowicz
Keyword(s):  
Hedge Funds ◽  
Lower Risk ◽  
Market Timing ◽  
Hedge Fund ◽  
Technical Analysis ◽  
Fund Managers ◽  
Short Sale ◽  
Timing Ability ◽  
Fund Industry

This article presents a unique test of the effectiveness of technical analysis in different sentiment environments by focusing on its usage by perhaps the most sophisticated and astute investors, namely, hedge fund managers. We document that during high-sentiment periods, hedge funds using technical analysis exhibit higher performance, lower risk, and superior market-timing ability than nonusers. The advantages of using technical analysis disappear or even reverse in low-sentiment periods. Our findings are consistent with the view that technical analysis is relatively more useful in high-sentiment periods with larger mispricing, which cannot be fully exploited by arbitrage activities because of short-sale impediments.

Hedge Fund Manager Skill and Style-Shifting

2021 ◽  
Author(s):  
George J. Jiang ◽  
Bing Liang ◽  
Huacheng Zhang
Keyword(s):  
Hedge Funds ◽  
Hedge Fund ◽  
Abnormal Returns ◽  
Fund Managers ◽  
Timing Ability ◽  
Dynamic Strategy ◽  
Show Evidence ◽  
Style Shifting ◽  
Manager Skill ◽  
Investment Styles

Using a novel style identification procedure, we show that style-shifting is a dynamic strategy commonly used by hedge fund managers. Three quarters of hedge funds shifted their investment styles at least once over the period from January 1994 to December 2013. We perform empirical tests of two hypotheses for the motivations of hedge fund style-shifting, namely backward-looking and forward-looking hypotheses. We find no evidence that style-shifting funds are backward-looking. Instead, we show evidence that managers of style-shifting funds exhibit both style-timing ability and the skill of generating abnormal returns in new styles. The new styles that hedge funds shift to on average outperform their old styles by 0.76% and style-shifting funds on average outperform their new style benchmark by 1.10% over the subsequent 12-month horizon. Finally, we show that small funds, winner funds, and funds with net inflows are more likely to shift styles. This paper was accepted by David Simchi-Levi, finance.

scholarly journals Timing is money: The factor timing ability of hedge fund managers

2021 ◽  
Author(s):  
Albert Jakob Osinga ◽  
Marc B.J. Schauten ◽  
Remco C.J. Zwinkels
Keyword(s):  
Hedge Fund ◽  
Fund Managers ◽  
Timing Ability

Do Hedge Fund Managers Display Skill?

CFA Digest ◽  
2004 ◽  
Vol 34 (4) ◽  
pp. 11-13
Author(s):  
Keith H. Black
Keyword(s):  
Hedge Fund ◽  
Fund Managers

Why Do Hedge Fund Managers Outperform?

2012 ◽  
Author(s):  
Istvan Nagy ◽  
Ivan Guidotti
Keyword(s):  
Hedge Fund ◽  
Fund Managers

Duration of poor performance and risk shifting by hedge fund managers

2019 ◽  
Vol 40 ◽  
pp. 35-47 ◽  
Author(s):  
Ying Li ◽  
A. Steven Holland ◽  
Hossein B. Kazemi
Keyword(s):  
Hedge Fund ◽  
Poor Performance ◽  
Risk Shifting ◽  
Fund Managers

Determinants of Hedge Fund Internal Controls and Fees

2010 ◽  
Vol 85 (6) ◽  
pp. 1887-1919 ◽  
Author(s):  
Gavin Cassar ◽  
Joseph Gerakos
Keyword(s):  
Hedge Funds ◽  
Agency Costs ◽  
Hedge Fund ◽  
Short Selling ◽  
Internal Controls ◽  
Fund Managers ◽  
Asset Value ◽  
Net Asset Value ◽  
Financial Misstatements ◽  
Financial Misstatement

ABSTRACT: We investigate the determinants of hedge fund internal controls and their association with the fees that funds charge investors. Hedge funds are subject to minimal regulation. Hence, hedge fund managers voluntarily implement internal controls, and managers and investors freely contract on fees. We find that internal controls are stronger in funds with higher potential agency costs. Further, internal controls are stronger in funds domiciled in jurisdictions that provide investors with limited legal redress for fraud and financial misstatements. Short selling funds, however, are more likely to protect information about their investment positions by implementing weaker internal controls. With respect to fees, we find that the percentage of positive profits that the manager receives increases in the strength of the fund’s internal controls. Finally, removing the manager from setting and reporting the fund’s official net asset value, along with reputational incentives and monitoring by leverage providers, are all associated with lower likelihoods of future regulatory investigations of fraud and/or financial misstatement.

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