Active Manager Performance: Alpha and Persistence

20 Pages Posted: 21 Mar 2014

See all articles by Frank Benham

Frank Benham

Meketa Investment Group

Edmund Walsh

Economic Data Sciences

Date Written: January 28, 2014


The purpose of this paper is to investigate and discuss historical active manager performance relative to the performance of an appropriate market benchmark. Although this subject has been written about extensively, much of the analysis has traditionally been plagued with data quality issues. Specifically, survivorship bias, selection bias, and classification noise within manager performance data are present in any analysis that does not account for them, potentially leading to misleading outcomes. Our analysis takes steps to correct these data quality issues where possible. Using this more representative and appropriate data, this paper uses a number of metrics to analyze the relative performance of active managers over an extensive time period. Our analysis evaluates whether managers have added value historically, if there is a difference across asset classes, and if past relative performance has been indicative of future relative performance (i.e., persistence).

Keywords: manager alpha, active management, performance persistence

JEL Classification: G14, G23

Suggested Citation

Benham, Frank and Walsh, Edmund, Active Manager Performance: Alpha and Persistence (January 28, 2014). Available at SSRN: or

Frank Benham (Contact Author)

Meketa Investment Group ( email )

100 Lowder Brook Drive, Suite 1100
Westwood, MA 02090
United States


Edmund Walsh

Economic Data Sciences ( email )

1 Brunel Way
The Porter Building, Level 2
Slough, SL1 1FQ
United Kingdom
01753 396 581 (Phone)

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