In contrast, the superior performance of optimal portfolios that incorporate predictable manager skills is robust to adjusting investment returns by the Fama-French and momentum benchmarks. Moreover, it is also robust to adjusting investment returns by the size, book-to-market, and momentum characteristics per Daniel et al. (1997).We demonstrate further that our predictable skill strategies perform best during recessions, but also quite well during expansions, generating positive and significant performance in absolute terms as well as relative to benchmarks. In addition, the predictable skill strategies are able to identify the very best performing funds during both expansions and recessions
