A FRESH LOOK AT INVESTMENT PERFORMANCE EVALUATION

摘要

A modern-day application of classical statistics unifies the two approaches of peer group analysis and indexes to better differentiate investment manager success from failure. Portfolio simulations create random portfolios that conform to an individual manager's approach, thereby customizing performance evaluation for each manager. This simulation technology is not new or hypothetical. It has been used to evaluate traditional long-only managers for more than a decade and has recently been extended to hedge funds. Examples demonstrate manager evaluation using portfolio simulations as the backdrop.