Do Market Timing Hedge Funds Time the Market? Academic Article

abstract

• AbstractThis paper examines whether self-described market timing hedge funds have the ability to time the U.S. equity market. We propose a new measure for timing return and volatility jointly that relates fund returns to the squared Sharpe ratio of the market portfolio. Using a sample of 221 market timing funds during 19942005, we find evidence of timing ability at both the aggregate and fund levels. Timing ability appears relatively strong in bear and volatile market conditions. Our findings are robust to other explanations, including public information-based strategies, options trading, and illiquid holdings. Bootstrap analysis shows that the evidence is unlikely to be attributed to luck.

authors

• Chen, Yong

published proceedings

• Journal of Financial and Quantitative Analysis

altmetric score

• 4

author list (cited authors)

• Chen, Y., & Liang, B.

citation count

• 199

complete list of authors

• Chen, Yong||Liang, Bing

publication date

• January 2007

publisher

• Cambridge University Press (CUP)  Publisher

published in

• Journal of Financial and Quantitative Analysis  Journal

keywords

• Bootstrap
• Hedge Funds
• Persistence
• Return Timing
• Volatility Timing

Digital Object Identifier (DOI)

• 10.1017/s0022109000003410

start page

• 827

end page

• 856

volume

• 42

issue

• 4

URL

• http%3A%2F%2Fdx.doi.org%2F10.1017%2Fs0022109000003410