In the framework of active portfolio management, we propose a methodology to evaluate the performance of active portfolio managers when the benchmark portfolio cannot be either observed or determined by the agent performing the analysis. The suggested methodology assesses performance with respect to a combination of funds that minimizes residual risk; and, it is well-suited for evaluating the performance of pension-fund managers in defined-contribution pension systems, especially those operating in Latin America. We also provide numerical results when our methodology is applied to appraise the historical performance of the pension fund administrators of the Peruvian Private Pension System.