RT Journal Article
SR Electronic
T1 Modern Fool’s Gold: Alpha in Recessions
JF The Journal of Investing
FD Institutional Investor Journals
SP 60
OP 68
DO 10.3905/joi.2012.21.3.060
VO 21
IS 3
A1 Shaun A. Pfeiffer
A1 Harold R. Evensky
YR 2012
UL https://pm-research.com/content/21/3/60.abstract
AB 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.TOPICS: Portfolio construction, manager selection, financial crises and financial market history