TY  - JOUR
AU  - Cohen,Randolph
AU  - Coval,Joshua
AU  - Pastor,Lubos
TI  - Judging Fund Managers by the Company They Keep
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9359
PY  - 2002
Y2  - December 2002
UR  - http://www.nber.org/papers/w9359
L1  - http://www.nber.org/papers/w9359.pdf
N1  - Author contact info:
Randolph Cohen
Morgan Hall 365
Harvard Business School
Boston, MA  02163
Tel: 617/495-6674
E-Mail: rcohen@hbs.edu

Joshua D. Coval
Harvard Business School
Boston, MA 02163
Tel: 617/495-5056
Fax: 617/496-8443
E-Mail: jcoval@hbs.edu

Lubos Pastor
Graduate School of Business
University of Chicago
5807 South Woodlawn Ave
Chicago, IL  60637
Tel: 773/834-4080
Fax: NA
E-Mail: lubos.pastor@chicagogsb.edu
AB  - We develop a performance evaluation approach in which a fund manager's skill is judged by the extent to which his investment decisions resemble the decisions of managers with distinguished performance records. The proposed performance measures are estimated more precisely than standard measures, because they use historical returns and holdings of many funds to evaluate the performance of a single fund. According to one of our measures, funds with significantly positive ability considerably outnumber funds with significantly negative ability at the end of our sample. Simulations demonstrate that our measures are particularly useful in ranking managers. In an application that relies on such ranking, we find only weak persistence in the performance of U.S. equity funds after accounting for momentum in stock returns.
ER  -