Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance

This article presents evidence on persistence in the relative investment performance of large, institutional equity managers. Similar to existing evidence for mutual funds, we find persistent performance concentrated in the managers with poor prior-period performance measures. A conditional approach...

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Veröffentlicht in:The Review of financial studies 1998-04, Vol.11 (1), p.111-142
Hauptverfasser: Christopherson, Jon A., Ferson, Wayne E., Glassman, Debra A.
Format: Artikel
Sprache:eng
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Zusammenfassung:This article presents evidence on persistence in the relative investment performance of large, institutional equity managers. Similar to existing evidence for mutual funds, we find persistent performance concentrated in the managers with poor prior-period performance measures. A conditional approach, using time-varying measures of risk and abnormal performance, is better able to detect this persistence and to predict the future performance of the funds than are traditional methods.
ISSN:0893-9454
1465-7368
DOI:10.1093/rfs/11.1.0111