Indeed, in the presence of predictability in fund risk loadings and benchmark
returns, optimal portfolios consist entirely of actively managed funds even when the
possibility of manager skills in stock selection and benchmark timing is ruled out. That is,
actively managed funds allow the investor to capitalize on predictability in benchmarks
and fund risk loadings in a way that cannot be achieved through long-only index fund
positions.
We now turn to analyze predictability in manager skills. Incorporating such
predictability results in asset allocation that is overwhelmingly different from the other
cases examined. To illustrate, consider the agnostic who believes in predictable skills (PA-
3). This investor faces an enormous...
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Reporting by Investment Advisers to Private Funds and Certain Commodity Pool Operators and Commodity Trading Advisors on Form PF
Reporting by Investment Advisers to Private Funds and Certain Commodity Pool Operators and Commodity Trading Advisors on Form PF
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