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Does It All Add Up? Benchmarks and the Compensation of Active Portfolio Managers

320 citations0/0 files storedThe Journal of Business

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Abstract

I. Introduction In this article we exam-ine theoretically the Suppose a portfolio manager investing in Japa- use of benchmark port-folios in the compensa-nese stocks realizes a return of 27%. How well tion of privately in-has she performed? A good answer to this ques-

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References

1968The Theory of Syndicates 1987The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models 1992A Mean/Variance Analysis of Tracking Error

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2011Equilibrium prices in the presence of delegated portfolio management 2003Portfolio Optimization with Tracking-Error Constraints 2003Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem 2018Portfolio Manager Compensation in the U.S. Mutual Fund Industry 2008Agency and Asset Pricing 1999The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds Versus Pension Funds 2006Optimal Decentralized Investment Management 2002Mutual Fund Advisory Contracts: An Empirical Investigation

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