Capacity and Factor Timing Effects in Active Portfolio Management
Ciccotello and co-authors (2009) study factor investing. The abstract mentions profits but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“We find that actively managed funds exhibit significant capacity and timing effects, while index funds display only timing effects.”
StrategyFactor investing
ClaimProfit
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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