This paper investigates empirically whether uncertainty about equity market volatility can explain hedge fund … performance both in the cross section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and …

In this paper, I use the Busse (1999) volatility timing model and the cubic model in Holmes and Faff (2004) to examine … the volatility timing ability reflected in the hedge fund indices from four major emerging market regions. The performance … hedge funds operate. I find little evidence of volatility timing in the stock markets for these hedge fund indices …