This Strategy Beats the World’s Top Hedge Funds — Don’t Try It
The Wall Street Journal featured recently a paper published by GFRI's Professor Olivier Scaillet in the Journal of Finance.
Scaillet and his co-authors, Laurent Barras and Russ Wermers, looked at thousands of mutual funds between 1975-2006 and determined that only 0.6% of managers had enough demonstrable skill to outweigh their fund’s cost.
For the paper “False discoveries in mutual fund performance: Measuring luck in estimated alphas” >
For the Wall Street article by Spencer Jakab (subscription is required) >
May 23, 2023