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

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

doi:10.1093/rfs/11.1.0111

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

Jon A. Christopherson¹; Wayne E. Ferson²; Debra Glassman²

¹ Russell Sage College · ² University of Washington

Review of Financial Studies 1998

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: 10.1093/rfs/11.1.0111
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