A Better Way To Measure Performance Persistence
August 7, 2008
Christopher Holt submits:
“Performance persistence” is never far from the minds of both hedge fund investors and researchers. Many studies have attempted to determine if good managers can actually remain good or if their performance is destined to “revert to the mean”. In general, they conclude that persistence does exist … bad managers remain bad. Unfortunately, the opposite is not generally believed to be very true.
One author of a recent study on return persistence, Daniel Capocci, found that previous returns showed modest predictive ability and wrote on these pages last March:
A Better Way To Measure Performance Persistence
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