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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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While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...
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