Do fund managers time momentum? Evidence from mutual fund and hedge fund returns
研究发现对冲基金和共同基金都进行动量交易，但对冲基金具有适度的动量时机把握能力，而共同基金没有；具备时机把握能力的基金显著跑赢其他基金。
Abstract By examining fund returns we find strong evidence that both hedge funds and mutual funds trade on momentum. Moreover, the average hedge fund has modest momentum timing skill, trading more aggressively when momentum profits are higher, while the average mutual fund does not. Momentum trading alone does not translate into superior performance. However, funds with momentum timing ability significantly outperform and the risk‐adjusted‐return‐difference between the top and the bottom timers is around 1.7% (1.3%) per year for hedge (mutual) funds. We provide further evidence that dynamic momentum strategies enhance fund performance, and momentum timing skills vary considerably with fund investment styles.