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File name: SSRN-id1698164. ; Size: 226K
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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 CitationHsu, Jason C., Kalesnik, Vitali and Wermers, Russ R., 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
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