"The expected time- and risk-adjusted cumulative return on any asset equals one at all horizons. Nonetheless, I show … that a typical asset's realized time- and risk-adjusted cumulative return tends to zero almost surely. As a corollary, the …

"We develop a new GMM-style methodology with good small-sample properties to assess the abnormal performance and risk … sample is small. Larger funds have higher returns due to higher risk exposures and not higher alphas. We also find that Net …

a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks …