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by hedge fund managers. Three quarters of hedge funds shifted their investment styles at least once over the period from …-looking. Instead, we show evidence that managers of style-shifting funds exhibit both style-timing ability and the skill of generating …
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This study provides formal theoretical evidence that constructions of fund alpha that are implemented using robust specifications of asset pricing models generate alpha estimates that are well defined. Regardless, the formal theoretical model shows fund alphas that are constructed with the...
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Active fund managers are skilled and, on average, have used their skill to generate about $3.2 million per year. Large … investing more capital in funds managed by better managers. These funds earn higher aggregate fees, and a strong positive …
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