Investment manager measurement question
Hi, I'm posting this to generate some AF opinions and ideas on whether it is possible to measure (on an ex post facto basis) whether an investment manager adds value in their tactical movements.
For example, if investment manager A buys a stock at time T0 and then sells it at T1, I wanted to see if it's possible to check whether investment manager A got out at the right time, or perhaps should have waited longer to time T2.
That led me down the path of creating a shadow model portfolio based on the holdings and projecting the P&L past the sell date. That then ran into the issue of when exactly you would sell the stock in this model portfolio. So I decided to post here to see if anybody has come across something like this as a thought exercise or at work and what suggestions you might have. Thanks. |