Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance
研究大型机构股票基金经理的相对投资业绩是否持续，发现业绩差的管理人更可能持续差，且使用随时间变化的风险和异常收益指标的条件方法比传统方法更能检测和预测这种持续性。
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.