... variables has mean zero, equation (2) is also a conditional covariance. It says that, conditional on the public information, the sum of the conditional covariances between the weights of a ... should be interested in a conditional performance measure, because it reveals the source of the manager’s performance. Consider the relation between unconditional and conditional weight-based ... left-hand side is the unconditional weight measure (UWM), similar to Grinblatt and Titman (1993). The second term is the “average” conditional weight measure, equal to the unconditional mean of...