One of the most important roles of the investment performance measurement professional is to evaluate the skill of investment managers. On the surface, this task would seem to be relatively straightforward. After all, skilled managers are those who consistently outperform valid benchmarks. Unfortunately, in reality, any attempt to assess skill is fraught with uncertainty. Performance measurement professionals understand that, even with extensive historical data, differentiating between skillful and lucky managers is statistically problematic. More fundamentally, as Bailey, Richards, and Tierney observe, "the connection between past performance and future performance is tenuous at best" (p. 67).¹ What many investment professionals may not appreciate, however, is the pertinence of a theoretical debate to the practice of performance appraisal. This longstanding debate, summarized below, has been renewed in light of recent market cycles.