Research Seminars

Performance and Persistence in Institutional Investment Management

Speaker: Amit Goyal
University of Lausanne

9 October 2008 - From 16:00 to 17:30

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Using new, survivorship-bias free data, we examine the performance and persistence in performance of 4,282 active domestic equity institutional products managed by 1,384 investment management firms between 1991 and 2007. Controlling for the Fama-French three factors and momentum, aggregate an average estimates of alphas are statistically indistinguishable from zero. Although there is
considerable heterogeneity in performance, we find no evidence that the performance of either winners or losers persists.

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