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• W2285199777 abstract "Mutual funds seek alpha, but residual coskewness is also an important performance attribute. Alpha and residual coskewness relative to the market are negatively correlated in theory, so funds may generate undesirable residual coskewness in the pursuit of alpha. Empirically, the trade-off exists for mutual funds and is driven by both fund composition and actions of managers. Sorting funds by proxies for active management generates positive alpha, but also undesirable coskewness. Investment styles also carry skewness consequences, but only partially explain the trade-off in funds. A minority of funds overcome the trade-off. Thus, seeking alpha generally comes at a skewness cost." @default.
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• W2285199777 date "2015-01-01" @default.
• W2285199777 modified "2023-09-23" @default.
• W2285199777 title "Performance Evaluation with Higher Moments" @default.
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• W2285199777 doi "https://doi.org/10.2139/ssrn.2625788" @default.
• W2285199777 hasPublicationYear "2015" @default.
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