Verlag:
LUISS Guido Carli, Department of Economics and Finance, Arcelli Centre for Monetary and Financial Studies, Rome
Zusammenfassung:
We answer the somewhat narrower question of whether hedge funds adjust their conditional market exposure in response to real-time changes in macroeconomic conditions, and whether doing so improves their performance. We find that hedge funds di↵er substantially in their responsiveness to macroeconomic data. The most pro-cyclical market timers outperform their less active and counter-cyclical peers by over four percent annualized with a risk adjusted alpha of 5.5 percent.