Can you say that it follows from the central limit theorem that a sample of mutual fund alphas are normally distributed? I'm not sure if the criteria for independence is fully fulfilled since it is a zero-sum game to beat the market, so the return of one fund will effect the return of another fund at leasts marginally.
Still it should be (almost) normally distributed given the central limit theorem?
Still it should be (almost) normally distributed given the central limit theorem?
