Bear factor and hedge fund performance
研究发现，与熊市组合收益率协方差低（即熊市贝塔低）的对冲基金，在横截面上获得显著更高的收益，且这种超额收益并非熊市风险补偿，而是源于基金经理在市场下跌时降低市场暴露的择时能力。
• Hedge fund exposure to a bear spread portfolio is a significant return predictor. • The outperformance of low bear beta hedge funds is not a compensation for bear risk. • Low bear beta funds reduce their market exposures during high-VIX/low-return periods. • These funds are more skilled at selling overpriced insurance during bad periods. We find that hedge funds that have low (negative) return covariance with the return of a bear spread portfolio (i.e., Bear factor) after controlling for the market factor, earn significantly higher returns in the cross-section. The return spread does not reflect bear risk premia; instead, it represents a low risk-high return relation. We decompose the Bear factor into different components to identify the one driving the bear beta effect on fund performance and show that the return spread can be attributed to the differential ability of low bear beta funds to reduce their market exposures when the market declines and the VIX increases (i.e., downside timing). Further analysis suggests that these fund managers are more skilled at selling overpriced insurance during volatile market periods. Overall, we propose a simple option-implied predictor of hedge fund returns and unravel a novel economic mechanism that associates the Bear factor exposure with fund performance.