Do Market Timing Hedge Funds Time the Market?
研究自称市场择时的对冲基金能否择时美国股市，提出联合择时收益和波动的新指标，发现这些基金在1994-2005年间确实有择时能力，尤其在熊市和高波动时表现更强。
Abstract This 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 1994–2005, 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.