  The number of pension funds has multiplied exponentially over the last
decade. Active portfolio management requires a precise analysis of the
performance drivers. Several risk and performance attribution metrics have been
developed since the 70s to guide investors in their investment choices. Based
on the study made by Fama and French (2010) we reproduce the experiment they
had carried out in order to complete their work using additionnal features.
Throughout this study we draw a parallel between the results obtained by Fama
and French (2010) with the 3-factor model. The aim of this paper is to assess
the usefulness of two additional factors in the analysis of the persistence of
alphas. We also look at the quality of the manager through his investment
choices in order to generate alpha considering the environment in which he
operates.
