Answers are grounded in this paper and cite their sources.
I use daily mutual fund returns to shed new light on the question of whether or not mutual fund managers are successful market timers. Previous studies find that funds are unable to time the market return. I study the funds' ability to time market volatility. I show that volatility timing is an important factor in the returns of mutual funds and has led to higher risk-adjusted returns. The returns of surviving funds are especially sensitive to market volatility; those of nonsurvivors are not.
No takes yet. Share an insight, caveat, or question.
Jeffrey A. Busse (1999) studied this question.
Synapse has enriched 10 related papers. Consider them for comparative context: