CONDITIONING MANAGER ALPHAS ON ECONOMIC INFORMATION - ANOTHER LOOK ATTHE PERSISTENCE OF PERFORMANCE

This article presents evidence on persistence in the relative investme nt performance of large, institutional equity managers. Similar to exi sting evidence for mutual funds, we find persistent performance concen trated 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.