Dewaele, Benoît; Pirotte, Hugues; Tuchschmid, N.; … - Centre Emile Bernheim, Solvay Brussels School of … - 2011
apply the false discoveries (FD) technique of Barras, Scaillet and Wermers (2010) to separate the FoHFs into skilled, zero-alpha … and unskilled. We measure the alpha of the FoHFs using two models – (1) a 16-factor model with a combination of factors … channel alpha from single-manager hedge funds. Applying the FD procedure to the second model, we find that only a very small …