factor investing on beyond-market-risk factors, Fake Alpha strategies based on factor investing look like skill from the …

Long Horizons -- Chapter 4: Estimating Future Performance – The Shrinkage Adjusted Sharpe Ratio -- Chapter 5: Active Versus … Practice. It describes and analyzes the key measures that have been proposed to evaluate mutual fund performance, considers … their usefulness for predicting future performance over long and short horizons and introduces a new measure -- the …

of past time-varying alpha generate superior and significant ex-post performance. Additionally, this analysis shows that …In this paper, we show the interest of the time-varying coefficient model in hedge fund performance assessment and … selection. We argue that the alpha of hedge funds is dynamic and that the time-varying alpha captures this dynamic behavior …

Ratios that indicate the statistical significance of a fund’s alpha typically appraise its performance. A growing … or trading frequently can significantly enhance performance ratios. This paper derives the performance maximizing … strategy - a variant of buy-write - and the least upper bound on such performance enhancement, thereby showing that if common …