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Buffett's Alpha
Frazzini, Andrea - 2019
Berkshire Hathaway has realized a Sharpe ratio of 0.79 with significant alpha to traditional risk factors. However, the alpha becomes insignificant when controlling for exposures to Betting-Against-Beta and Quality-Minus-Junk factors. Further, we estimate that Buffett's leverage is about...
Persistent link: https://www.econbiz.de/10012899020
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Slow moving capital
Mitchell, Mark; Pedersen, Lasse Heje; Pulvino, Todd - 2007
Persistent link: https://www.econbiz.de/10003417699
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Slow moving capital
Mitchell, Mark; Pedersen, Lasse Heje; Pulvino, Todd - 2007
Persistent link: https://www.econbiz.de/10003432434
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Slow moving capital
Mitchell, Mark; Pedersen, Lasse Heje; Pulvino, Todd - In: The American economic review 97 (2007) 2, pp. 215-220
Persistent link: https://www.econbiz.de/10003501764
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Should investors invest in hedge fund-like mutual funds? : evidence from the 2007 financial crisis
Huang, Jing-Zhi; Wang, Ying - In: Journal of financial intermediation 22 (2013) 3, pp. 482-512
Persistent link: https://www.econbiz.de/10009767859
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Buffett's alpha
Frazzini, Andrea; Kabiller, David; Pedersen, Lasse Heje - 2013
Persistent link: https://www.econbiz.de/10010225041
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Buffett's alpha
Frazzini, Andrea; Kabiller, David; Pedersen, Lasse Heje - 2013
Persistent link: https://www.econbiz.de/10010243730
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Demystifying managed futures
Hurst, Brian; Ooi, Yao Hua; Pedersen, Lasse Heje - In: Journal of investment management : JOIM 11 (2013) 3, pp. 42-58
Persistent link: https://www.econbiz.de/10010195994
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Liquidity risk and economies of scale in funds of hedge funds
Shawky, Hany A.; Wang, Ying - In: The journal of alternative investments 17 (2014/15) 2, pp. 51-67
Persistent link: https://www.econbiz.de/10010467228
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Timing ability of government bond fund managers : evidence from portfolio holdings
Huang, Jing-Zhi; Wang, Ying - In: Management science : journal of the Institute for … 60 (2014) 8, pp. 2091-2109
Persistent link: https://www.econbiz.de/10010403571