Performance and Persistence in Institutional Investment Management


  • Jeffrey Busse and Amit Goyal are from the Goizueta Business School, Emory University, and Sunil Wahal is from the W.P. Carey School of Business, Arizona State University. We are indebted to Robert Stein and Margaret Tobiasen at Informa Investment Solutions and to Jim Minnick and Frithjof van Zyp at eVestment Alliance for graciously providing data. Financial support from the Goizueta Business School is gratefully acknowledged. We thank an anonymous referee, George Benston, Gjergji Cici, Kenneth French, William Goetzmann (the European Finance Association discussant), Campbell Harvey (the Editor), Byoung-Hyoun Hwang, Narasimhan Jegadeesh, and seminar participants at the 2006 European Finance Association meetings, 2008 Swiss Finance Association Meeting, Arizona State University, the College of William and Mary, Emory University, Harvard University, HEC Lausanne, HEC Paris, Helsinki School of Economics, National University of Singapore, Norwegian School of Economics and Business Administration (NHH Bergen), Norwegian School of Management (BI Oslo), Singapore Management University, UCLA, UNC-Chapel Hill, University of Georgia, University of Oregon, University of Virginia (Darden), and VU University (Amsterdam) for helpful suggestions.


Using new, survivorship bias-free data, we examine the performance and persistence in performance of 4,617 active domestic equity institutional products managed by 1,448 investment management firms between 1991 and 2008. Controlling for the Fama–French (1993) three factors and momentum, aggregate and average estimates of alphas are statistically indistinguishable from zero. Even though there is considerable heterogeneity in performance, there is only modest evidence of persistence in three-factor models and little to none in four-factor models.