The
contributions brought by our approach are threefold. First, we account for luck by measuring
the proportion of lucky funds at different significant levels. Second, we examine
how the F DR varies as the significant level rises. This indicates whether funds with
genuine differential performance are concentrated or more dispersed in the tails of the
cross-sectional alpha distribution. Third, we provide explicit estimates of the proportion
of funds in the population which have truly positive and negative alphas (as opposed to
significant only)....
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PROPOSALS RESPOND TO CONSTITUENT CONCERNS, BUT DO THEY GO FAR ENOUGH?
PROPOSALS RESPOND TO CONSTITUENT CONCERNS, BUT DO THEY GO FAR ENOUGH?
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