We develop a unified theory of delegated capital management that extends the competitive, rational-expectations paradigm of Berk and Green (2004) from mutual funds to alternative assets. With perfectly competitive capital markets, we derive the optimal contract and account for observed regularities—performance fees, persistent alpha, fee dispersion, and binding limits on fund size. The key distinction between mutual funds and alternatives is the liquidity and opacity of the underlying assets. When assets are liquid, investors optimally do not acquire information ex ante; learning from performance and fund flows is sufficient, investors earn zero net alpha, and a simple fee proportional to AUM is optimal. When assets are illiquid, capital must be committed for extended periods and interim performance is less informative, making costly due diligence efficient. This creates a free-rider problem: if all investors face identical terms, no one has incentives to become informed. We show that the standard private-market contract—preferential terms for informed cornerstone investors, higher fees for uninformed investors, and a binding cap on total fundraising—implements the first-best allocation while allowing managers to extract all rents once information costs are accounted for. Limited liability rationalizes option-based carried interest with a hurdle rate, implying that uninformed investors break even at a strictly positive pre-carry return that compensates for the embedded carry option. Finally, we explain why delegation is essential: bilateral (in-house) contracting is not incentive compatible and distorts scale downward, whereas delegated fundraising with uninformed capital restores the first best.