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...

This paper examines managerial skill of U.S. equity mutual funds in the context of both abnormal return and risk. We recognize the role of fund life cycle and use different evaluation horizons to control for fund age and the overall state of the market. We find that a small percentage of equity...