The purpose of this paper is to investigate and discuss historical active manager performance relative to the performance of an appropriate market benchmark. Although this subject has been written about extensively, much of the analysis has traditionally been plagued with data quality issues....

In a recent paper, Lo (2002) derives the asymptotic distribution of the Sharpe ratio under several sets of assumptions for the return-generating process. In this paper, we extend his work to the information ratio (IR), the ratio of the excess return of a portfolio over his benchmark to its...