Performance of active fund managers continues to be examined in finance literature. Current convictions are that different investment styles perform at different stages of the market cycle. Specifically, active manager\u27s claim that performance is better in bear markets rather than in bull markets. Therefore, this paper examines whether active managers risk adjusted performance is superior in down-markets rather than in up-markets. The performance of 58 mutual funds is examined, as well as the performance of the Fama and French 25 portfolios sorted by size and book-to-market equity. Performance is measured by Jensen\u27s (1 968) alpha and Fama and French (1 993) and Carhart (1 997) asset-pricing models. The results show little evidence of manager\u27s outperformance. The results also show no evidence to performance being superior in down-markets rather than in up-markets. Rather, the number of positive alphas is greater in bull markets; however differences between the two market stages are not statistically significant. ii
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