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• W202262170 abstract "This paper follows one main purpose: approaching classical models from a behavioral point of view. And two secondary objectives: First, providing behaviorally based tools to study efficiency in investment funds markets. Second, proposing a new methodological approach in order to disentangle randomness from ability in investment fund’s performance. We reach two main theoretical proposals: To set the fourth order moment of our Sharpe’s ratio differences based indicator as a market efficiency measure. To take the statistical comparison of the probability distribution of the fund’s Net selectivity with a N (0, σ p ) distribution, as an indicator of luck/skill in investment funds performance measurement. In order to illustrate these proposals, we take a randomly chosen sample of investment funds investing in four sectors: energy, financial, industrial and technology. We analyze: First, the cross sectional level of activity/efficiency in the market. And second, whether the individual results of each fund are ability or randomness caused." @default.
• W202262170 created "2016-06-24" @default.
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• W202262170 date "2013-01-01" @default.
• W202262170 modified "2023-09-24" @default.
• W202262170 title "Active Strategies, Randomness and Ability in Investment Fund’s Performance Evaluation: a Behavioral Approach" @default.
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