Buffett's Alpha (Financial Analyst Journal, 2018)
Winner of Financial Analysts Journal Graham and Dodd Awards of Excellence, Top Award 2018.
Warren Buffett’s Berkshire Hathaway has realized a Sharpe ratio of 0.79 with significant alpha…
Performance Analysis
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The Overlooked Persistence of Active Outperformance (Neuberger Berman, 2019)
With stock markets fueled by extraordinary central bank intervention in the wake of the Global Financial Crisis, passive equity strategies have seen great success in terms of performance, fund flows…
Unobserved Performance of Hedge Funds (2018)
We investigate hedge funds’ unobserved performance (UP), measured as the risk-adjusted return difference between a fund firm’s reported return and the hypothetical portfolio return derived from its…
