Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Investing
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Investing

The Journal of Investing

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Using Prime Alpha to Separate Skill from Luck

Andrew Chin, Venkat Balakrishnan and Piyush Gupta
The Journal of Investing Spring 2018, 27 (1) 98-108; DOI: https://doi.org/10.3905/joi.2018.27.1.098
Andrew Chin
is the chief risk officer and head of quantitative research at AB (formerly AllianceBernstein) in New York, NY
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Venkat Balakrishnan
is a senior fund manager at ICMA-RC in Washington, DC
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Piyush Gupta
is a quantitative research analyst at AB (formerly AllianceBernstein) in Pune, India
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 

Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

This article assesses the existence and persistence of manager skill by using a unique and broad database of institutional manager returns spanning U.S. large-cap, U.S. small-cap, global, and international equities. The authors define prime alpha as the residual return after adjusting for a set of common factors and find that it is persistent across time within each of the manager universes. Prime alpha is a strong indicator of manager skill because managers with high (low) prime alpha tend to continue to exhibit high (low) prime alpha. They also show evidence that raw manager returns are not persistent because they are influenced by the cyclicality in factor returns. Therefore, investors should use prime alpha to discern skill from luck among active managers.

TOPICS: Performance measurement, manager selection

  • © 2018 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Investing: 27 (1)
The Journal of Investing
Vol. 27, Issue 1
Spring 2018
  • Table of Contents
  • Index by author
  • Complete Issue (PDF)
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Investing.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Using Prime Alpha to Separate Skill from Luck
(Your Name) has sent you a message from The Journal of Investing
(Your Name) thought you would like to see the The Journal of Investing web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Using Prime Alpha to Separate Skill from Luck
Andrew Chin, Venkat Balakrishnan, Piyush Gupta
The Journal of Investing Feb 2018, 27 (1) 98-108; DOI: 10.3905/joi.2018.27.1.098

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Using Prime Alpha to Separate Skill from Luck
Andrew Chin, Venkat Balakrishnan, Piyush Gupta
The Journal of Investing Feb 2018, 27 (1) 98-108; DOI: 10.3905/joi.2018.27.1.098
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • DATA
    • RETURN DECOMPOSITION
    • PRIME ALPHA
    • PERSISTENCE OF PRIME ALPHA
    • RESULTS FOR U.S. LARGE-CAP STRATEGIES
    • ROBUSTNESS CHECKS FOR U.S. LARGE-CAP STRATEGIES
    • ANALYSIS AND RESULTS FOR U.S. SMALL-CAP, GLOBAL, AND INTERNATIONAL STRATEGIES
    • CONCLUSIONS
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1068-0896 | E-ISSN: 2168-8613

  • Site Map
  • Terms & Conditions
  • Cookies
  • Privacy Policy