Volatility and predictability of manager alpha
| Autor: | Andrew L. Turner, Jon A. Christopherson |
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| Rok vydání: | 1991 |
| Předmět: | |
| Zdroj: | The Journal of Portfolio Management. 18:5-12 |
| ISSN: | 2168-8656 0095-4918 |
| DOI: | 10.3905/jpm.1991.409388 |
| Popis: | L ike it or not, it is difficult to ignore past performance in the evaluation of investment managers. Dramatic reversals in a manager’s performance may occasion observation that the manager was due for a rebound. Implicit in such a statement is a perceived relationship between past and future performance. The generally unspoken rationale for studying performance is that embedded somewhere in historical return data is a forecast of future performance. Put bluntly, however, if there is no information in a manager’s past performance about likely future performance, then collecting data and analyzing historical performance is a useless enterprise, even if performance measurement is heralded as being central to the manager selection process. This problem is the central focus of this article. Our objective is to explore manager return series and to identify, if possible, exploitable patterns or exploitable characteristics in the return series. Reliable performance patterns can improve the management of multiple portfolios as well as lead to profitable trading strategies. The absence of patterns would suggest it will be difficult to form useful conclusions based solely on performance analysis. In other words, reasons for abnormal (above market) returns must be found elsewhere. |
| Databáze: | OpenAIRE |
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