TY - JOUR T1 - What it Takes to Beat a Benchmark JF - The Journal of Investing SP - 37 LP - 42 DO - 10.3905/joi.2003.319552 VL - 12 IS - 3 AU - Brett H. Wander Y1 - 2003/08/31 UR - https://pm-research.com/content/12/3/37.abstract N2 - The relationship between a manager's level of skill and the actual value-added to a portfolio can be nebulous. Actual portfolio results are often only minimally correlated with the manager's skill level. A framework for quantifying the expected value-added of a constrained portfolio focuses on the three distinct factors that contribute to investment performance: a manager's forecasting skill ability to predict excess returns; the manager's range of opportunities to apply skill across securities and over time; the flexibility provided for a manager to express forecasting skill in a portfolio that is constrained to some degree. ER -