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Article

Modern Fool’s Gold: Alpha in Recessions

Shaun A. Pfeiffer and Harold R. Evensky
The Journal of Investing Fall 2012, 21 (3) 60-68; DOI: https://doi.org/10.3905/joi.2012.21.3.060
Shaun A. Pfeiffer
is an associate professor of financial services in the Department of Business and Economics at Edinboro University in Edinboro, PA.
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  • For correspondence: spfeiffer@edinboro.edu
Harold R. Evensky
is president of Evensky & Katz in Coral Gables, FL and adjunct graduate professor at Texas Tech University, Division of Personal Financial Planning in Lubbock, TX.
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  • For correspondence: harold@evensky.com
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Abstract

Investors continue to chase past returns and active portfolio management despite evidence that suggests a passive investment strategy is generally superior. Prior research claims that active fund managers add alpha in recessions. Findings in this article suggest that alpha from active managers is isolated to a subset of the manager universe.Further, the authors conclude that this outperformance displays weak persistence and that there is no meaningful impact of prior superior performance in recessions on performance in subsequent recessions or expansions.

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The Journal of Investing: 21 (3)
The Journal of Investing
Vol. 21, Issue 3
Fall 2012
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Modern Fool’s Gold: Alpha in Recessions
Shaun A. Pfeiffer, Harold R. Evensky
The Journal of Investing Aug 2012, 21 (3) 60-68; DOI: 10.3905/joi.2012.21.3.060

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Modern Fool’s Gold: Alpha in Recessions
Shaun A. Pfeiffer, Harold R. Evensky
The Journal of Investing Aug 2012, 21 (3) 60-68; DOI: 10.3905/joi.2012.21.3.060
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  • Article
    • Abstract
    • COSTS AND PERFORMANCE OF ACTIVE PORTFOLIO MANAGEMENT
    • PERSISTENCE OF RETURNS
    • PERFORMANCE ACROSS BUSINESS CYCLES
    • SAMPLE AND METHODOLOGY
    • SUMMARY AND CONCLUSIONS
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