We make use of a new database on daily currency fund manager returns over a three-yearperiod, 2005-08. This higher frequency data allows us to estimate both alphameasures of performance and beta style factors on a yearly basis, which in turn allowsus to test for persistence. We find no evidence to support alpha persistence; amanager’s alpha in one year is not significantly related to his alpha in the prior year.On the other hand, there is substantial evidence for style persistence; funds that relyon carry, trend or value trading or with a long/short bias toward currency volatility arelikely to maintain that style in the following year. In addition, we are able to examinethe performance of managers that survive through the entire sample period, versusthose that drop out. We find significant differences in both the investment styles ofliving versus deceased funds, as well as their realized alpha performance measures.We conjecture that both style differences and ineffective market timing, rather thanmarket conditions, have impacted performance outcomes and induced some managersto close their funds.
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