This paper examines the volatility timing of US mutual funds by controlling the false discovery rate to find out how … our sample funds, the percentages of countercyclical and procyclical volatility timing funds are about equal. We also find …, does not incorporate false discoveries in volatility timing, it provides quite accurate volatility timing results. Finally …

volatility (volatility timing). We demonstrate an additional bias (overconditioning) that can occur any time an empiricist ….S. equity returns, volatility timing and overconditioning can plausibly impact alphas more than market timing, which has been … the focus of prior literature. To correct market- and volatility-timing biases without overconditioning, we show that …