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
Schlagworte:	Economic performance Fees Financial investments Investment effectiveness Investment strategies Investment trusts Linear regression Managers Mutual funds P values Pension funds Portfolio management Treasury bills Yield
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container_title	The Review of financial studies
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creator	Christopherson, Jon A. Ferson, Wayne E. Glassman, Debra A.
description	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.
doi_str_mv	10.1093/rfs/11.1.0111
format	Article
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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.</abstract><pub>Oxford University Press</pub><doi>10.1093/rfs/11.1.0111</doi><tpages>32</tpages><oa>free_for_read</oa></addata></record>
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source	Business Source Complete; Jstor Complete Legacy; Oxford University Press Journals All Titles (1996-Current)
subjects	Economic performance Fees Financial investments Investment effectiveness Investment strategies Investment trusts Linear regression Managers Mutual funds P values Pension funds Portfolio management Treasury bills Yield
title	Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance
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