Title

Relative Portfolio Performance Evaluation And Incentive Structure

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. © 2006 by The University of Chicago. All rights reserved.

Publication Date

3-1-2006

Publication Title

Journal of Business

Volume

79

Issue

2

Number of Pages

903-921

Document Type

Review

Personal Identifier

scopus

DOI Link

https://doi.org/10.1086/499142

Socpus ID

33644891907 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/33644891907

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