PT  - JOURNAL ARTICLE
AU  - Rob Arnott
AU  - Vitali Kalesnik
AU  - Lillian Wu
TI  - The Folly of Hiring Winners and Firing Losers
AID  - 10.3905/jpm.2018.45.1.071
DP  - 2018 Oct 31
TA  - The Journal of Portfolio Management
PG  - 71--84
VI  - 45
IP  - 1
4099  - https://pm-research.com/content/45/1/71.short
4100  - https://pm-research.com/content/45/1/71.full
AB  - The standard procedure of firing losing managers and hiring winning managers based on their past three-year performance leads to losses. Investors need to look forward—not just back—when allocating to fund managers by using a measure of expected fund returns that considers factor exposures, fees, manager skill in security selection, and factor expected returns estimated based on relative valuation. As investors and their consultants gain a better understanding of the predictive efficacy of relative valuations in factor and strategy performance, they gain an objective reason to avoid the blunders of performance chasing.TOPICS: Manager selection, performance measurement