into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are … predictors, and in part on the basis of their own information set. In this portfolio allocation process, managers concern … information. In doing this, we impose a structure on fund returns, betas, and benchmark returns that help to analyse how managers …

. Overall, we find that active managers underperform their benchmarks when it comes to allocating to market segments (based … along size, style, and industry dimensions). Further, we find that managers who have successfully timed market segment …