Can Hedge Funds Time the Market?
Publication
, Journal Article
Brandt, MW; Nucera, F; Valente, G
Published in: International Review of Finance
June 1, 2019
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%.
Duke Scholars
Published In
International Review of Finance
DOI
EISSN
1468-2443
ISSN
1369-412X
Publication Date
June 1, 2019
Volume
19
Issue
2
Start / End Page
459 / 469
Related Subject Headings
- 3801 Applied economics
- 3502 Banking, finance and investment
- 3501 Accounting, auditing and accountability
- 1502 Banking, Finance and Investment
- 1501 Accounting, Auditing and Accountability
Citation
APA
Chicago
ICMJE
MLA
NLM
Brandt, M. W., Nucera, F., & Valente, G. (2019). Can Hedge Funds Time the Market? International Review of Finance, 19(2), 459–469. https://doi.org/10.1111/irfi.12171
Brandt, M. W., F. Nucera, and G. Valente. “Can Hedge Funds Time the Market?” International Review of Finance 19, no. 2 (June 1, 2019): 459–69. https://doi.org/10.1111/irfi.12171.
Brandt MW, Nucera F, Valente G. Can Hedge Funds Time the Market? International Review of Finance. 2019 Jun 1;19(2):459–69.
Brandt, M. W., et al. “Can Hedge Funds Time the Market?” International Review of Finance, vol. 19, no. 2, June 2019, pp. 459–69. Scopus, doi:10.1111/irfi.12171.
Brandt MW, Nucera F, Valente G. Can Hedge Funds Time the Market? International Review of Finance. 2019 Jun 1;19(2):459–469.
Published In
International Review of Finance
DOI
EISSN
1468-2443
ISSN
1369-412X
Publication Date
June 1, 2019
Volume
19
Issue
2
Start / End Page
459 / 469
Related Subject Headings
- 3801 Applied economics
- 3502 Banking, finance and investment
- 3501 Accounting, auditing and accountability
- 1502 Banking, Finance and Investment
- 1501 Accounting, Auditing and Accountability