Thomas J. Brennan

Returns to Managers Calculator

The java applet below calculates distributions and summary statistics for returns to wage earners, executives, entrepreneurs, private equity fund managers, and hedge fund managers using the methodology developed by Tom Brennan and Karl Okamoto in Measuring the Tax Subsidy in Private Equity and Hedge Fund Compensation, 60 Hastings L. J. 27-59 (2008).

You may vary the model parameters for each of the five types of earners in the upper left panel. You may vary the assumptions about tax rates and market characteristics using the middle two panels on the left. Also, you may vary the parameters for the Monte Carlo simulation in the bottom panel on the left. The upper panel on the right displays the risk and return statistics for the distributions predicted by the model for the five types of earners. The lower panel on the right displays histograms of the underlying distributions.