Timing is money: The factor timing ability of hedge fund managers
研究发现约34%的对冲基金在至少一个因子上具备择时能力，主要集中在市场、规模和债券因子；择时能力更强的基金通常经验更丰富、更灵活，且年化超额收益达4.32%。
This paper studies the level, determinants, and implications of the factor timing ability of hedge fund managers. We find that approximately 34% of hedge funds display factor timing ability on at least one factor over the full sample, concentrated especially at the market, size, and bond factors. Better factor timing skills are on average related to funds that are more experienced and more flexible, but the cross-factor heterogeneity is considerable. Factor timing is associated with outperformance; the top factor timing funds outperform the bottom factor timing funds with a significant 4.32% per annum. Timing skills, though, do not directly lead to higher net flow.