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

  • Jon A. Christopherson
  • Wayne E. Ferson
  • Debra A. Glassman

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. "

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File URL: http://www.nber.org/papers/w5830.pdf
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 5830.

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Date of creation: Nov 1996
Date of revision:
Publication status: published as Review of Financial Studies, 1998, Volume 11, Number 1 Pp. 111-142
Handle: RePEc:nbr:nberwo:5830
Note: AP
Contact details of provider: Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Phone: 617-868-3900
Web page: http://www.nber.org
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