This chapter presents the methodologies used to determine the investment performance of fund managers. It is one of the most important but at the same time most complicated topics in delegated asset management to judge whether the portfolio manager added any value. The concepts presented here are used throughout this study to measure investment skills but also to evaluate the costs of other determinants such as agency conflicts, liquidity risk and capacity constraints.
KeywordsAbnormal Return Mutual Fund Hedge Fund Fund Manager Sharpe Ratio
Unable to display preview. Download preview PDF.