ABSTRACT
Competition among financial institutions has led to the performance analysis which examines the qualities of managers who use active investment strategies. The investment process is overall evaluated.
The fundamental question is: Does a given manager provide an actual value-added service with respect to
a simple index replication or to a given benchmark? As a by-product, the performance analysis is a test of the market efficiency
which is based on different kinds of information, as introduced by Fama [217]. An active manager tries to take opportunities from particular information
(public or private) which may not be reflected by market prices.
