, we find that the performance measures for an equally weighted portfolio of procyclical timing funds are greater than for …

discovery rate to assess the alpha-performance of individual funds with both domestic and other mandates, using self …: there is some positive-alpha performance when post-formation returns are evaluated using a one-factor global model but … substantial positive-alpha performance when using a four-factor global model. …

activity and performance of actively managed U.S. equity funds from 2000 to 2007 and document robust evidence that future … performance is positively related to past stock picking and negatively associated with past market timing. Finally, we find that … performance while market timing decreases performance. …

We provide evidence of a significant relation between diversification and performance in the hedge fund industry … performance and diversification across sectors and asset classes. We show that on a risk adjusted basis, hedge funds that … significant positive relation between performance and diversification across sectors. However, diversifying across asset classes …

test, this article investigates (i) the performance of investments in diamonds of different quality grades, (ii) time …

select ex ante the future best-performing rules. Moreover, even in-sample, the performance is completely offset by the …

We investigate the performance of the German equity mutual fund industry over 20years (monthly data 1990–2009) using … the false discovery rate (FDR) to examine both model selection and performance measurement. When using the Fama …–French three factor (3F) model (with no market timing) we find that at most 0.5% of funds have truly positive alpha-performance and …

It is a common practice to use resampling methods such as the bootstrap for calculating the p-value for each test when … performing large scale multiple testing. The precision of the bootstrap p-values and that of the false discovery rate (FDR … important need, we developed a simple adaptive bootstrap methodology for large scale multiple testing, which reduces the total …