Buffett’s Alpha
Warren Buffett’s Berkshire Hathaway has realized a Sharpe ratio of 0.79 with significant alpha to traditional risk factors. The alpha became insignificant, however, when we controlled for exposure to the factors “betting against beta” and “quality minus junk.” Furthermore, we estimate that Buffett’s...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Routledge
2018
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| Online Access: | View Fulltext in Publisher |