Are Professional Investment Managers Skilled? Evidence from Syndicated Loan Portfolios

摘要: Theory predicts that individual investor's incentives to uncover new information about asset values are low if prices efficient. This, in turn, implies heterogeneity investment manager skill, present, should be most clearly visible among managers focus on classes with less informationally efficient prices. We investigate this argument using a large sample of syndicated bank loan portfolios managed by collateralized obligation (CLO) managers. Using CLO's equity tranche cash-on-cash (CoC) return measure performance, we find strong persistence is robust an extensive set risk controls. While investors seem derive their expectation management quality from manager's realized performance and allocate more capital "skilled" managers, top performers cope stay ahead net-of-fees. This questions the rationality efficiency market.