I would like to evaluate the performance of a portfolio mananger.

I know his trades, and the initial portfolio holdings. I do not know, however the amount held on his cash account.

That is, I cannot know whether stocks are bought with cash from previous sales (by completely selling a stock bought before), or with new cash inflows. How could I measure the performance of his portfolio? I woud like to have a CAPM like approach.

Many thanks

  • $\begingroup$ so basically you would like to know whether the manageer might be tweaking the performance by injecting more money ? $\endgroup$ – Probilitator Mar 21 '14 at 16:21
  • $\begingroup$ not necessarily. I would just like to have a good estimate of the portfolio performance of the manager. As do not have the cash account I guess I must make some assumptions. $\endgroup$ – ℕʘʘḆḽḘ Mar 21 '14 at 16:34
  • $\begingroup$ @Noobie You need to make an assumption on leverage / cash held, for example by using an average number if that is a fairly stable metrics. For example, if it's a long only strategy, you could consider that the strategy is always 100% invested. $\endgroup$ – assylias Mar 21 '14 at 17:57
  • $\begingroup$ do you have some reference in mind that i could use? $\endgroup$ – ℕʘʘḆḽḘ Mar 21 '14 at 18:00

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