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The Bias in Composite Performance Measures

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  • Klemkosky, Robert C.

Abstract

Within the past decade, considerable progress has been made in measuring ex post portfolio performance. The two parameter risk-return dimension of investment performance as pioneered by Markowitz has been reduced to a single parameter which incorporates measures of both risk and return. Several different but related one-parameter measures of performance have been developed, notably by Sharpe [8], Treynor [11], and Jensen [3], and are commonly referred to as composite performance measures. Theoretically, the composite measures allow portfolios with different risks and returns to be compared directly.

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  • Klemkosky, Robert C., 1973. "The Bias in Composite Performance Measures," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(3), pages 505-514, June.
    • Handle: RePEc:cup:jfinqa:v:8:y:1973:i:03:p:505-514_01
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    Cited by:

    1. Yochanan Shachmurove, "undated". "Portfolio Analysis of Latin American Stock Markets," Penn CARESS Working Papers 33820afad90814b2158b0366c, Penn Economics Department.
    2. López, Raquel & Esparcia, Carlos, 2021. "Analysis of the performance of volatility-based trading strategies on scheduled news announcement days: An international equity market perspective," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 32-54.
    3. Vinod Agarwal & Larry Prather, 1997. "Economic rents and mutual fund performance: An empirical investigation," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 21(2), pages 67-73, June.
    4. Jack W. Wilson & Charles P. Jones, 1981. "The Relationship Between Performance And Risk: Whence The Bias?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(2), pages 103-107, June.
    5. Hayette Gatfaoui, 2010. "Deviation from normality and Sharpe ratio behavior: a brief simulation study," Post-Print hal-00568613, HAL.
    6. Rodríguez, Yeny E. & Gómez, Juan M. & Contreras, Javier, 2021. "Diversified behavioral portfolio as an alternative to Modern Portfolio Theory," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    7. Valeri Zakamouline & Steen Koekebakker, 2009. "A Generalisation of the Mean†Variance Analysis," European Financial Management, European Financial Management Association, vol. 15(5), pages 934-970, November.
    8. Jose Arreola Hernandez & Sang Hoon Kang & Seong‐Min Yoon, 2022. "Nonlinear spillover and portfolio allocation characteristics of energy equity sectors: Evidence from the United States and Canada," Review of International Economics, Wiley Blackwell, vol. 30(1), pages 1-33, February.
    9. Bilal Ahmad Pandow & Khurshid Ahmad Butt, 2017. "Risk and Return Analysis of Mutual Fund Industry in India," Journal of Banking and Financial Dynamics, Sophia, vol. 1(1), pages 54-65.
    10. Moreno, David & Rodríguez, Rosa, 2009. "The value of coskewness in mutual fund performance evaluation," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1664-1676, September.
    11. Moreno, David & Rodríguez, Rosa, 2008. "The value of coskewness in evaluating mutual funds," DEE - Working Papers. Business Economics. WB wb087616, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    12. Philip A. Horvath & Amit K. Sinha, 2017. "Asymmetric reaction is rational behavior," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(1), pages 160-179, January.
    13. David C. Leonard & Nicholas R. Noble, 1981. "Estimation Of Time—Varying Systematic Risk And Investment Performance: Closed—End Investment Companies," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(2), pages 109-120, June.

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