Lets see different situations. 1. "Bad guy" got your login/password information and connects to your PC using remote administration tool such as Remote Desktop or Remote Admin. Suppose that you are running Spy Lantern Keylogger. Viewing reports you can come across actions you never did or working sessions you never had. From this time you understand that someone is using your computer without you permission.
2. "Bad guy" hacked you computer and want to use it as spam/bulk-mail sender. Suppose that you are running Email Spy Pro. As soon as he send email you will be aware of his actions.
3. "Bad guy" hacked into your computer and want to install spy software to monitor you. If you are using Advanced Anti Keylogger he won't be able to do this and, moreover, you'll get alert that someone wants to monitor you.