CONCEPT PAPER ON PROPOSED ALTERNATIVE INVESTMENT FUNDS REGULATION FOR PUBLIC COMMENTS
CONCEPT PAPER ON PROPOSED ALTERNATIVE INVESTMENT FUNDS REGULATION FOR PUBLIC COMMENTS
For the investor types believing that active managers can generate alphas, we nd that the ability to identify superior performing funds is further improved, albeit slightly, by augmenting the four-factor model with country indices, even if these indices represent non-priced factors, consis- tent with Pastor and Stambaugh (2002a). To illustrate, our baseline analysis nds CAPM alpha enhancements of up to 5% per year from using macroeconomic state variables to choose funds, relative to active manag