Portfolio Performance and Agency
Portfolio Performance and Agency
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DOI：
10.2139/ssrn.206268
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发表时间：
1999-12
期刊：
影响因子：
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通讯作者：
J. Carpenter;Philip H. Dybvig;Heber Farnsworth
中科院分区：
文献类型：
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作者：
J. Carpenter;Philip H. Dybvig;Heber Farnsworth
投资组合经理的评价与薪酬是投资者面临的重要问题。最优报酬将促使管理者花费精力来产生信息，并在知情的投资组合选择中适当地使用它。我们的一般模型指出了在丰富的模型中分析最优绩效评估和承包的方法。在模型中的最优合同包括一个重要的作用，投资组合的限制，更复杂的共享规则。代理人的报酬给代理人大约基准回报加上激励费等于投资组合的措施，大约是超过基准的回报。这种测量方法经常被实践者使用，但比詹森测量方法和学术文献中通常推荐的其他测量方法更简单。除了高于固定基准的超额回报外，基金经理还获得了一些额外的激励，以采取偏离基准的头寸，从而消除了倾向于成为“秘密指数编制者”的激励。“有效的合同涉及对可以采取的投资组合策略的限制，以及对收集的信息的事先沟通。
The evaluation and compensation of portfolio managers is an important problem for practitioners. Optimal compensation will induce managers to expend effort to generate information and to use it appropriately in an informed portfolio choice. Our general model points the way towards analysis of optimal performance evaluation and contracting in a rich model. Optimal contracting in the model includes an important role for portfolio restrictions that are more complex than the sharing rule. The agent's compensation gives the agent approximately to benchmark return plus an incentive fee equal to a portfolio measure that is approximately the excess of return above the benchmark. This measure is often used by practitioners but is simpler than the Jensen measure and other measures commonly recommended in the academic literature. In addition to the excess return above the fixed benchmark, the manager is given some additional incentive to take a position that deviates from the benchmark to remove an incentive to tend towards being a "closet indexer." Efficient contracting involves restrictions on what portfolio strategies can be pursued, and prior communication of the information gathered.