Kazemi, Maziar; Islamaj, Ergys - Federal Reserve Board (Board of Governors of the … - 2014
question. Using Kalman Filter techniques, we estimate the risk exposure dynamics of a large sample of live and dead equity long … there exists a nonlinear relationship between activeness and performance. Using raw returns as a measure of performance, it … is found that more active funds outperform the less active ones. However, when risk adjusted returns are used to measure …