31 Explaining Persistence Some positive CAPM alphas persist but no fund group

31 explaining persistence some positive capm alphas

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31 Explaining Persistence Some positive CAPM alphas persist, but no fund group has a positive 4-factor alpha Reason: Winning funds hold high momentum stocks After adjusting for the high returns on the momentum strategy, winning funds have alpha < 0 The average fund alpha is negative Interpretation: Funds underperform after costs Doesn t imply that there are no skilled managers But the top 10% performs worse than the benchmark
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