Particularly, mutual funds capture only about half of the value premium implied by the theoretical paper portfolios and, surprisingly, almost none of the momentum premium. (researchaffiliates.com)
The same data show that investors are not able to benefit from the momentum premium, even during a quarter - century with robust paper portfolio performance. (researchaffiliates.com)
We also call attention to the real - world «haircuts» on the implied alphas — implementation shortfall, trading costs, and manager fees — which don't show up in paper portfolios and simulations. (researchaffiliates.com)