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%
Can hedge funds time the market? / Brandt, MICHAEL W.; Nucera, FEDERICO CALOGERO; Valente, Giorgio. - In: INTERNATIONAL REVIEW OF FINANCE. - ISSN 1369-412X. - (2017), pp. 1-11. [10.1111/irfi.12171]
Can hedge funds time the market?
FEDERICO NUCERA;
2017
Abstract
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%
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