After the recent financial crisis and the tightening of the regulation processes, portfolio managers regularly face strong restrictions, with complex implications for their performance. This paper provides a framework to analyze the performance of a portfolio manager under a value-at-risk (VaR) constraint, in a Markowitz setup. Using appropriate parameters, we calibrate the model for a manager with private information and compare the effect of VaR and short-selling (SS) constraints on the relationship between the expected portfolio return and the market return. We find that, in a more volatile market, the VaR restriction will have a greater effect on manager performance than the SS restriction. The VaR constraint also strongly affects a manager with high-quality information, while the SS restriction only moderately affects a manager with any level of information quality. Regarding their attitude toward risk, an overly aggressive manager will find their overall performance more affected by the VaR constraint.