A new research paper, however, has some useful insight. (See "Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence Over Different Market Conditions" by Sun, Wang, and Zheng.) Instead of looking at all of the data, the authors conduct conditional tests based on up and down return periods. I am not a great fan of their measure of down markets, but I accept it as a measure that can allow us to review a lot cross-sectional information.
Dividing the market into these up and down returns periods by hedge fund styles, the researchers find that managers who do well when everyone in their peer group is doing poorly is a strong gauge of future returns. Call this the "when the going gets tough, the tough get going" measure. It works. The persistence of this conditional information can last up to three years. It is strong across all hedge fund styles and exists ben when returns are filtered through factor models.
Show me a manager that can beat his peers during rough performance periods and I will show you a manager that I would want in my portfolio.