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Performance Measures and Mean-Variance Efficiency

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  • Lee, Woongki

    (Yonsei University)

Abstract

While portfolio performance and pricing performance are often treated as separate domains, both rest on the same foundation: mean-variance efficiency. This study makes that connection explicit by examining 11 performance measures drawn from these two domains. We show that these measures share a common basis in the Sharpe ratio, the standard measure of mean-variance efficiency, and can therefore be interpreted within a unified framework. Building on this result, we derive two compact benchmark-relative metrics, the ratio metric and the gap metric, and illustrate their practical relevance using data from the Korean fund industry.

Suggested Citation

  • Lee, Woongki, 2026. "Performance Measures and Mean-Variance Efficiency," SocArXiv athw7_v1, Center for Open Science.
    • Handle: RePEc:osf:socarx:athw7_v1
    DOI: 10.31235/osf.io/athw7_v1
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    References listed on IDEAS

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