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

Albert Jakob Osinga, Marc B.J. Schauten and Remco C.J. Zwinkels

Journal of Empirical Finance, 2021, vol. 62, issue C, 266-281

Abstract: This paper studies the level, determinants, and implications of the factor timing ability of hedge fund managers. We find that approximately 34% of hedge funds display factor timing ability on at least one factor over the full sample, concentrated especially at the market, size, and bond factors. Better factor timing skills are on average related to funds that are more experienced and more flexible, but the cross-factor heterogeneity is considerable. Factor timing is associated with outperformance; the top factor timing funds outperform the bottom factor timing funds with a significant 4.32% per annum. Timing skills, though, do not directly lead to higher net flow.

Keywords: Hedge funds; Factor investing; Factor timing (search for similar items in EconPapers)
JEL-codes: G11 G23 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:62:y:2021:i:c:p:266-281

DOI: 10.1016/j.jempfin.2021.04.007

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