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

This paper evaluates persistence in the performance of institutional equity managers. We build on recent work on conditional performance evaluation, using time-varying conditional expected returns and risk measures. We find evidence that the investment performance of pension fund managers persists over time. A conditional approach is able to better detect this persistence and to predict the future performance of the funds than are traditional methods. The performance persistence is especially concentrated in the managers with negative prior-period conditional alphas. "

Off the Mark: Lessons for Exchange Rate Modelling.

Many explanations have been advanced for the apparent breakdown of monetary exchange-rate model s in the late 1970s. This paper shows that the initial empirical supp ort enjoyed by the models was an illusion created by the failure to a ccount for exchange-rate nonstationarity and the arbitrary imposition of dynamic restrictions. Furthermore, estimation of a more general, dynamic specification and cointegration tests both lead to rejection of a central proposition of the monetary approach, the long-run propo rtionality of the exchange rate to relative money supplies. Copyright 1987 by Royal Economic Society.