IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v8y1973i03p505-514_01.html
   My bibliography  Save this article

The Bias in Composite Performance Measures

Author

Listed:
  • 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.

Suggested Citation

  • 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
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0022109000019566/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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. Hayette Gatfaoui, 2010. "Deviation from normality and Sharpe ratio behavior: a brief simulation study," Post-Print hal-00568613, HAL.
    5. 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).
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. 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.
    11. repec:ajn:jobafd:2017:p:54-65 is not listed on IDEAS
    12. Moreno, David, 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.
    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.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:8:y:1973:i:03:p:505-514_01. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/jfq .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.