Does Past Performance Matter in Investment Manager Selection?

摘要

As the fine print reminds us time and again, past performance is not an indication of future results. Yet, institutional and retail investors often employ a simple algorithm—they usually focus only on recent performance as the dominant, if not the only, criterion for manager or mutual fund selection. Few pension trustees, investment officers, or their consultants seem to measure a prospective manager's capital asset pricing model (CAPM), Fama-French alpha, or other performance measures in making hiring and firing decisions. Thus, investors seem to expect that the kind of outperformance they value from a manager persists over time and leads to future outperformance against the same benchmark.