Buffett’s AlphaBuffett’s Alpha 1 Buffett’s Alpha Andrea Frazzini, David Kabiller, and Lasse Heje Pedersen* First Draft: May 3, 2012 This draft: November 21, 2013 Abstract Berkshire Hathaway has realized a Sharpe ratio of 0.76, higher than any other stock or mutual fund with a history of more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha becomes
