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investigate whether Australian hedge fund managers have the ability to outguess the market. Specifically, we test the market … timing and volatility timing skills of fund managers. Our findings show that Australian hedge fund managers do not possess … managers do not have market volatility timing skills, their US counterparts do exhibit such skills. …
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This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability based on macroeconomic variables. Incorporating predictability substantially improves out-of-sample performance for the entire universe of hedge funds as well as for various investment...
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This paper explores the gamma trading, timing and managerial skills of individual hedge funds across categories. We replicate the non-linear payoffs of hedge funds with traded options, with the option features being endogenously defined in our replication model. On top of providing a flexible...
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