Sentences with phrase «statistically significant alpha»

The fact that Prudential has 1 out of 49 of their funds with a statistically significant alpha does not give us a lot of confidence that this is a true act of skill or that Prudential, as a whole, can consistently offer funds that can produce a statistically significant alpha.

Not exact matches

In this analysis, the 3mo - 1mo strategy produced economically large and statistically significant factor - adjusted alpha of 3.42 % over the study period (February 1996 — December 2012).

Furthermore, we unequivocally find statistically significant correlations in out - of - sample international and emerging markets similar to those we find in U.S. markets, although the timing signal has unsurprising uncertainty in any forecast of alpha (it's pretty noisy).

The CAPM reveals that although the fund generated a positive alpha vs. the ETF, this intercept was not statistically significant, i.e. its t - stat was well below two.

Although this alpha was economically significant (t - statistic of 1.44), it was not statistically significant (t - statistic below two).

Although alpha in this model was considerable, it was not statistically significant (T - statistic of less than two).

Table 4 shows that as we reduce the rebalancing frequency of the equal - weighted portfolio from the base case of 1 month to 6 months and then to 12 months, the per annum alpha of the equal - weighted portfolio drops from 175 basis points to 117 basis points and then to 80 basis points.Once the rebalancing frequency of the equal - weighted portfolio is 12 months, the difference in the alpha of the equal - weighted portfolio and that of the value - and price - weighted portfolios is no longer statistically significant (the p - value for the difference in alpha of the equal - and value - weighted portfolios is 0.96 and for the difference of the equal - and price - weighted portfolios is 0.98).

When a mutual fund manager has a statistically significant different performance than the fund's benchmark (i.e., a statistically significant positive or negative alpha), there are two possible explanations: skill or luck.