Performance and Survival of Institutional Money Managers

38 Pages Posted: 3 Oct 2005

See all articles by Janis Berzins

Janis Berzins

BI Norwegian Business School

Charles Trzcinka

Indiana University - Kelley School of Business - Department of Finance

Date Written: September 20, 2005

Abstract

This paper examines the first survivorship bias-free panel dataset of equity portfolio managers who manage portfolios primarily for pension funds. We find that portfolios cease to exist at an average rate of 1.68% per quarter from June 1993 to December 2004. Survival bias is 74.1 basis points per quarter using average returns but only 35.5 basis points in asset weighted returns. The survival probabilities form a non-stationary process and depend on the quarter that a portfolio is started. Duration analysis shows that survival depends on portfolio age. We calculate time varying alphas. Using gross returns, the average Jensen's alpha of these portfolios is positive, but Fama and French three and Carhart four factor alphas are negative. We document alpha dependence on holding period length and starting point.

Keywords: institutional money managers, pension funds, performance evaluation, survivorship bias

JEL Classification: G1, G2, L1, L2

Suggested Citation

Berzins, Janis and Trzcinka, Charles, Performance and Survival of Institutional Money Managers (September 20, 2005). Available at SSRN: https://ssrn.com/abstract=811206 or http://dx.doi.org/10.2139/ssrn.811206

Janis Berzins

BI Norwegian Business School ( email )

Nydalsveien 37
Oslo, 0442
Norway

Charles Trzcinka (Contact Author)

Indiana University - Kelley School of Business - Department of Finance ( email )

Kelley School of Business
1309 E. 10th St.
Bloomington, IN 47405
United States
812-855-9908 (Phone)
812-855-5875 (Fax)

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