Portfolio Manager Ranking

When the management wants to evaluate the portfolio managers.  It has to take into consideration the returns generated by the portfolio manager in different portfolios over a period of time. Then use ranking mechanism to choose the best manager.


What? Need to find best or worst Portfolio Managers.

How? Using ANOVA mechanism and the following post-hoc mechanisms:-

              1) DUNCAN
                  2) SNK
                  3) LSD
                  4) TUKEY
                  5) SCHEFFE

Example below:-

DATA MGR_PERFORMANCE;
 INPUT MANAGER $ RETURNS;
DATALINES;
 MGR1 10
 MGR2  8
 MGR3  9
 MGR4 11
 MGR1  7
 MGR2  5
 MGR3  6
 MGR4  9
:
;

PROC ANOVA DATA=MGR_PERFORMANCE;
CLASS MANAGER ;
MODEL RETURNS=MANAGER;
MEANS MANAGER /DUNCAN;
RUN;

Results:-

The F-value of .12 with probability of .9459 means they are almost similar.

Source	DF	Sum of Squares	Mean Square	F Value	Pr > F
Model	3	5.1875000	1.7291667	0.12	0.9459

DUNCAN's grouping showed that they all belong to the same portfolio manager.

Means with the same letter are not significantly different.
Duncan Grouping	Mean	N	MANAGER
A	6.750	4	MGR4
A
A	5.750	4	MGR3
A
A	5.500	4	MGR1
A
A	5.250	4	MGR2

Conclusions:-

All the managers are performing almost  similar fashion but not same.

But Manager MGR4 has good performance , think he will get good bonus :).