Research and publications
The Benchmark's Benchmark: Measuring the Performance of a Manager's Long-Term Strategy
When investment managers construct strategy benchmarks and manage their portfolios against them, they are making an implicit bet that some subset of the broader investment universe will produce better risk and return characteristics than a similar published index over the long term. Despite the long-term focus of this decision, it is nonetheless active in nature. Strategy benchmark performance should thus be evaluated as a source of manager value-added.
Author(s):
David E. Kuenzi
Summary:
When investment managers construct strategy benchmarks and manage their portfolios against them, they are making an implicit bet that some subset of the broader investment universe will produce better risk and return characteristics than a similar published index over the long term. Despite the long-term focus of this decision, it is nonetheless active in nature. Strategy benchmark performance should thus be evaluated as a source of manager value-added.
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Register/Log in| Type : | Working paper |
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| Date : | 17/10/2003 |
| Keywords : |
Performance |
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