9 Pages Posted: 19 Jun 2017
Date Written: June 18, 2017
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 pro-cyclical market timers outperform their less active and counter-cyclical peers by over four percent annualized with a risk adjusted alpha of 5.5 percent.
Keywords: nowcasting, business cycle, hedge funds, market timing
JEL Classification: E32, G11, G20
Suggested Citation: Suggested Citation
Brandt, Michael W. and Nucera, Federico and Valente, Giorgio, Can Hedge Funds Time the Market? (June 18, 2017). Available at SSRN: https://ssrn.com/abstract=2988484