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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.
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Jon A. Christopherson
Yunnan Investment Group (China)
Wayne E. Ferson
University of Southern California
Debra Glassman
University of Washington
Review of Financial Studies
University of Washington
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Christopherson et al. (Thu,) studied this question.
synapsesocial.com/papers/6a0e107c93e6d2575910dcff — DOI: https://doi.org/10.1093/rfs/11.1.111