This is the problem that Hedge Fund Bus Dev guys have all the time - Portfolio of PMs with historic returns (giving uncertain estimates of E[Ret] and Cov[Ret]). New PM comes along - how much to invest? What do you need to know?
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I usually think that HF Bus Dev guys are a bit like the baseball scouts in Moneyball. Dinosaurs waiting to be replaced by advanced methods (SABRmetrics in the case of baseball).
I think a lot of the job is not in identifying the good PMs. It’s convincing them to move.
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No model will help there.
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