Abstract

http://ssrn.com/abstract=1698164
 


 



Performance Evaluation of Active Managers: An Overview of Current Practice


Jason C. Hsu


Research Affiliates, LLC; University of California, Los Angeles - Anderson School of Business

Vitali Kalesnik


Research Affiliates LLC

Russ Wermers


University of Maryland - Robert H. Smith School of Business

October 21, 2010

Investments & Wealth Monitor, January/February 2011

Abstract:     
Historically, manager skill has been measured simply as the difference in average returns between the portfolio and the benchmark index. Managers were considered skillful if their active weights against the benchmark led to outperformance. However, a manager tilting toward a certain risk-factor, relative to his benchmark, could appear to be skilled at stock picking or market timing. In response; with the advent of more advanced attribution technologies, the definition of manager alpha has become far more sophisticated and precise.

Number of Pages in PDF File: 8

Keywords: Performance, Evaluation

JEL Classification: G10, G20

Accepted Paper Series


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Date posted: October 27, 2010 ; Last revised: November 22, 2011

Suggested Citation

Hsu, Jason C. and Kalesnik, Vitali and Wermers, Russ, Performance Evaluation of Active Managers: An Overview of Current Practice (October 21, 2010). Investments & Wealth Monitor, January/February 2011. Available at SSRN: http://ssrn.com/abstract=1698164

Contact Information

Jason C. Hsu (Contact Author)
Research Affiliates, LLC ( email )
620 Newport Center Dr
Suite 900
Newport Beach, CA 92660
United States
HOME PAGE: http://www.jasonhsu.org
University of California, Los Angeles - Anderson School of Business
110 Westwood Plaza
Los Angeles, CA 90095-1481
United States
Vitali Kalesnik
Research Affiliates LLC ( email )
620 Newport Center Dr
Ste 900
Newport Beach, CA 92660
United States
949-325-8717 (Phone)
949-325-8917 (Fax)
HOME PAGE: http://researchaffiliates.com/index.htm
Russell R. Wermers
University of Maryland - Robert H. Smith School of Business ( email )
Department of Finance
College Park, MD 20742-1815
United States
301-405-0572 (Phone)
301-405-0359 (Fax)
HOME PAGE: http://www.rhsmith.umd.edu/finance/rwermers/
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