Conditioning manager alphas on economic information: another look at the persistence of performance |
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Authors: | Christopherson JA; Ferson WE; Glassman DA |
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Institution: | Frank Russell Company
1 Box 353200, University of Washington, Seattle, WA 98195-3200, USA
z Corresponding author |
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Abstract: | This article presents evidence on persistence in the relativeinvestment performance of large, institutional equity managers.Similar to existing evidence for mutual funds, we find persistentperformance concentrated in the managers with poor prior-periodperformance measures. A conditional approach, using time-varyingmeasures of risk and abnormal performance, is better able todetect this persistence and to predict the future performanceof the funds than are traditional methods. |
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