Fund skills: Value added and alpha
| Panel A: Value added | |||
|---|---|---|---|
| Gross value added | Risk adjusted value added | Net value added | |
| Mean | 0.2099 | 0.4758 | 0.0347 |
| Std | 0.8801 | 1.7100 | 0.6686 |
| t-value | 5.72 | 6.67 | 1.24 |
| Q1 | 0.0023 | 0.0006 | −0.0177 |
| Median | 0.0200 | 0.0305 | 0.0005 |
| Q3 | 0.0906 | 0.1609 | 0.0299 |
| less than zero | 22.43% | 24.52% | 48.35% |
| Panel A: Value added | |||
|---|---|---|---|
| Gross value added | Risk adjusted value added | Net value added | |
| Mean | 0.2099 | 0.4758 | 0.0347 |
| Std | 0.8801 | 1.7100 | 0.6686 |
| t-value | 5.72 | 6.67 | 1.24 |
| Q1 | 0.0023 | 0.0006 | −0.0177 |
| Median | 0.0200 | 0.0305 | 0.0005 |
| Q3 | 0.0906 | 0.1609 | 0.0299 |
| less than zero | 22.43% | 24.52% | 48.35% |
| Panel B: Alpha | |||
|---|---|---|---|
| Gross alpha | Risk adjusted alpha | Net alpha | |
| Mean | 0.0435% | 0.0684% | 0.0109% |
| Std | 0.0454% | 0.0578% | 0.0464% |
| t-value | 22.97 | 28.38 | 5.63 |
| Q1 | 0.0115% | 0.0232% | −0.0244% |
| Median | 0.0400% | 0.0614% | 0.0058% |
| Q3 | 0.0688% | 0.1119% | 0.0382% |
| less than zero | 16.70% | 13.39% | 45.57% |
| Panel B: Alpha | |||
|---|---|---|---|
| Gross alpha | Risk adjusted alpha | Net alpha | |
| Mean | 0.0435% | 0.0684% | 0.0109% |
| Std | 0.0454% | 0.0578% | 0.0464% |
| t-value | 22.97 | 28.38 | 5.63 |
| Q1 | 0.0115% | 0.0232% | −0.0244% |
| Median | 0.0400% | 0.0614% | 0.0058% |
| Q3 | 0.0688% | 0.1119% | 0.0382% |
| less than zero | 16.70% | 13.39% | 45.57% |
Note(s): “Less than zero” refers to the percentage of funds whose time-series mean value is below zero