Statistical Significance of Manager Track Records

  • manager evaluation
  • information ratio
  • statistics
  • eVestment

Core claim

An information ratio is not only a performance statistic. It is a statistical estimate. The same IR earned over different horizons does not carry the same evidentiary weight.

Method

Applied Lo (2002) inference to several thousand institutional manager track records across five equity universes. Assessed where the firm's flagship strategies rank within each universe.

Findings

Flagship strategies rank in the top few percent of their universes on a risk-adjusted basis, but the paper emphasizes what the statistics can and cannot prove. Short records narrow the explanation set less than long ones.

Deliverables

  • Full research paper
  • Interactive web deliverable for internal and client-facing use

Implication

Allocator conversations about skill should start with inferential limits, not headline IRs. The paper gives a defensible framework for that discussion.