Title

Relative portfolio performance evaluation and incentive structure

Authors

Authors

Y. K. Choi

Comments

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Abbreviated Journal Title

J. Bus.

Keywords

MUTUAL FUND PERFORMANCE; NONPARAMETRIC APPROACH; COSTLY INFORMATION; MORAL HAZARD; MARKET LINE; EFFICIENCY; BENCHMARKS; CONTRACTS; INDUSTRY; MANAGERS; Business

Abstract

Mutual fund managers are the agents of investors, and their efforts to improve their performance are influenced by either explicit or implicit incentive structures within fund organizations. An efficient fund evaluation should control for organizational elements that affect managerial incentives in evaluating their performance. I propose an incentive-compatible portfolio performance evaluation measure in which managers are to maximize investors' gross returns net of managerial compensation. I consider the effect of organizational elements such as economies of scale on incentive and thus on performance. Finally, I compare this new measure with the Sharpe ratio.

Journal Title

Journal of Business

Volume

79

Issue/Number

2

Publication Date

1-1-2006

Document Type

Article

DOI Link

http://dx.doi.org/10.1086/499142

Language

English

First Page

903

Last Page

921

WOS Identifier

WOS:000235536800016

ISSN

0021-9398

Recommended Citation

"Relative portfolio performance evaluation and incentive structure" (2006). Faculty Bibliography 2000s. 6028.
https://stars.library.ucf.edu/facultybib2000/6028