On statistical surveillance of the performance of fund managers

Abstract

The aim of this report is to describe if and how statistical surveillance methods for monitoring of the performance of fund managers has been used. Statistical surveillance is a methodology for on-line monitoring, in which a warning signal is given if the performance declines. Since these methods are advanced you can expect the methods to be described in scientific literature. Problems in this area which will not be treated in this report are: 1. Estimation of the performance. 2. Hypothesis testing of if this manager always have a poor performance. 3. Examination of how managers are influenced by being evaluated.