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This paper is the first to present a two-stage peer group benchmarking approach to evaluate the performance of hedge funds. We present different ways of orthogonalizing the peer group benchmarks and discuss their general properties. We then orthogonalize the relevant benchmarks against...
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This paper evaluates fund managers’ trading skills using a novel dataset of daily mutual fund transactions. We document strong evidence of short term trading performance for both buys and sells lasting up to one month. By establishing a link between a fund’s trades, holdings, and reported...
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