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

Working Paper No. 5830 This paper evaluates persistence in the performance of institutional equity managers. We build on recent work on conditional performance evaluation, using time-varying conditional expected returns and risk measures. We find evidence that the investment performance of pension f...

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Bibliographic Details
Published in:NBER Working Paper Series 1996-11, p.5830
Main Authors: Christopherson, Jon A, Ferson, Wayne E, Glassman, Debra A
Format: Article
Language:English
Subjects:
Economic theory
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Summary:Working Paper No. 5830 This paper evaluates persistence in the performance of institutional equity managers. We build on recent work on conditional performance evaluation, using time-varying conditional expected returns and risk measures. We find evidence that the investment performance of pension fund managers persists over time. A conditional approach is able to better detect this persistence and to predict the future performance of the funds than are traditional methods. The performance persistence is especially concentrated in the managers with negative prior-period conditional alphas. "
ISSN:0898-2937
DOI:10.3386/w5830