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Can Hedge Funds Time the Market?
Author(s) -
Brandt Michael W.,
Nucera Federico,
Valente Giorgio
Publication year - 2019
Publication title -
international review of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.489
H-Index - 18
eISSN - 1468-2443
pISSN - 1369-412X
DOI - 10.1111/irfi.12171
Subject(s) - hedge fund , monetary economics , economics , business , econometrics , finance
We answer the somewhat narrower question of whether hedge funds adjust their conditional market exposure in response to real‐time changes in macroeconomic conditions, and whether doing so improves their performance. We find that hedge funds differ substantially in their responsiveness to macroeconomic data. The most procyclical market timers outperform their less active and counter‐cyclical peers by over 4% annualized with a risk adjusted alpha of 5.5%.