How to detect skill in management performance
提出一种从看似随机或微不足道的绩效中检测技能的方法，聚焦于寻找行为证据，对养老金资产分配和基金经理评估有参考价值。
% methodology to detect skill from performance that appears random or insignificant. The methodology focuses on seeking evidence of conduct: This approach parallels the concept of the “perfedt failure,” which implies that it is better to perform coirectly and fail because the outcome was influenced by random events than it is to perform incorrectly and succeed for the same reason. Each year billions of dollars of pension assets are distributed among the professional ihestment management community on the basis of summary results that reflect very little about the managers’ conduct. The typical criteria for manager evaluation are comparison to an index such as the Standard & Poor’s 500 Stock Composite and ranking within some universe of competing managers. Comparison to an index is considered appropriate, because the performance of the index can be achieved inexpensively by a mechanical process. Relative ranking is considered worthwhile, because a broad universe of managers would be expected to generate a normal distribution of returns with an average active return’ of slightly less than zero (due to the cost of transacting). Therefore, by omitting managers with poor relative performance, one might expect the remaining managers to produce an active return that, on average, exceeds the result that would be achieved from an index fund. 1