Performance of active fund managers continues to be examined in finance literature. Current convictions are that different investment styles perform at different stages of the market cycle. Specifically, active manageru27s claim that performance is better in bear markets rather than in bull markets. Therefore, this paper examines whether active managers risk adjusted performance is superior in down-markets rather than in up-markets. The performance of 58 mutual funds is examined, as well as the performance of the Fama and French 25 portfolios sorted by size and book-to-market equity. Performance is measured by Jensenu27s (1 968) alpha and Fama and French (1 993) and Carhart (1 997) asset-pricing models. The results show little evidence of manageru27s outperformance. The results also show no evidence to performance being superior in down-markets rather than in up-markets. Rather, the number of positive alphas is greater in bull markets; however differences between the two market stages are not statistically significant. iii
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机译：活跃的基金经理的业绩继续在金融文献中得到检验。当前的信念是，不同的投资方式在市场周期的不同阶段执行。具体来说，积极的经理人声称，在熊市中的表现要好于在牛市中。因此，本文研究了主动管理者风险调整后的绩效在低端市场中是否优于在高端市场中。将检查58个共同基金的表现，以及Fama和French 25个投资组合的表现（按规模和账面市值股票排序）。表现是由Jensen u27s（1,968）alpha和Fama以及French（1,993）和Carhart（1,997）资产定价模型衡量的。结果表明，几乎没有证据表明经理的表现出色。结果也没有证据表明在低端市场中表现优于在高端市场中。相反，在牛市中，正alpha的数量更多。但是，两个市场阶段之间的差异在统计上并不显着。 iii
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