For example, while the pattern of performance of the 160 funds presented in Figure 7, exactly matches the Consistent Pattern of Performance, the values (number of funds) are not sufficiently different from the mean of 10 per cell to be statistically different from a random allocation = 0.996). (χ2 Figure 7 Period 2 Q1 Q2 Q3 A4 Q1 11 9 9 11 Q2 9 11 11 9 1 Q3 9 11 11 9 Period Q4 11 9 9 11 Therefore we can now: Identify the overall Pattern of Performance’ that will occur in the ‘Consistent world’ if Investment Managers are performing consistently. ‘real Measure the likelihood that a particular sample Pattern of Performance is random, or is a pattern that indicates the existence of Consistent Performance. Assess whether a sample Pattern of Performance is significantly different from a random (or expected value) pattern. ANALYSIS OF THE CONSISTENCY OF MANAGER PERFORMANCE The virtually of the of manager that we see in universal ‘test’ ‘consistency performance’ industry and academic research is based on analysing whether performance ‘top quartile’
For example, while the pattern of performance of the 160 funds presented in Figure 7, exactly matches the Consistent Pattern of Performance, the values (number of funds) are not sufficiently different from the mean of 10 per cell to be statistically different from a random allocation (χ2 = 0.996). Figure 7 Period 2 Q1 Q2 Q3 A4 Period 1 Q1 11 9 9 11 Q2 9 11 11 9 Q3 9 11 11 9 Q4 11 9 9 11 Therefore we can now: Identify the overall ‘Consistent Pattern of Performance’ that will occur in the ‘real world’ if Investment Managers are performing consistently. Measure the likelihood that a particular sample Pattern of Performance is random, or is a pattern that indicates the existence of Consistent Performance. Assess whether a sample Pattern of Performance is significantly different from a random (or expected value) pattern. ANALYSIS OF THE CONSISTENCY OF MANAGER PERFORMANCE The virtually universal ‘test’ of the ‘consistency of manager performance’ that we see in industry and academic research is based on analysing whether ‘top quartile’ performance
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