We examine whether the success of hedge fund market timing strategies can be replicated. We develop a methodology for creating a portfolio of ETFs to capture risk factor exposures of market timing hedge funds identified using extant market timing measures. We find that the top market timing hedge funds outperform their ETF clone peers and the superior performance cannot be replicated. We show that the irreplicable market timing skills are more profound in certain hedge fund styles. Finally, we provide evidence that the success of market timing strategies is driven by non-cloneable hedge funds that possess managerial skills.

中文翻译：

---

主动因子投资：对冲基金与我们其他人

我们研究了对冲基金市场择时策略的成功是否可以复制。我们开发了一种创建 ETF 投资组合的方法，以捕捉使用现有市场时机度量确定的市场时机对冲基金的风险因素敞口。我们发现顶级市场择时对冲基金的表现优于其 ETF 克隆同行，而且其卓越的表现无法复制。我们表明，不可复制的市场择时技巧在某些对冲基金风格中更为深刻。最后，我们提供的证据表明，市场择时策略的成功是由具有管理技能的不可克隆的对冲基金驱动的。