In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across...

This paper introduces a panel regression framework for holdings-based investment performance measures. Fixed effects decompose performance into time series and cross-sectional predictive ability. Time-series predictive ability is the traditional focus, but cross-sectional ability strongly...

Return-based methods are frequently used by risk managers to estimate the exposures of hedge funds due to limited transparency. This article proposes a method to assess the limitations of such methods using the posterior Cramer-Rao bound (PCRB) concept. This PCRB methodology allows one to...