Hello, Login
X

Forgot Password?

Join Us

to start. Not a member? Join Today!
LinkedIn Join us on
Investment Management Information
“Bridging the theory & practice of investment management”
Email
Advanced Search →
  • Home
  • Journal
    • About
    • Subscribe to the Journal
      • Subscriptions
      • Library Subscriptions
    • Harry M. Markowitz Award
    • Submit a Paper
      • Article Guidelines
      • Practitioner’s Guidelines
    • Reprints & Permissions
    • Advertising
  • Conferences
    • JOIM Conference Events
    • About
    • Membership
    • Board Members
    • Sponsorship
  • Library Access
  • Contact
  • Help

0 comments / 07/08/2017 / christine

Measuring Portfolio Performance: Sharpe, Alpha, or the Geometric Mean?

Volume 15, Number 3, 2017
Moshe Levy

The most popular portfolio performance measures are the Sharpe ratio and alpha. While the Sharpe ratio is optimal under the capital asset pricing model (CAPM) assumptions of normal return distributions and unlimited borrowing at the risk-free rate, we find that it is not well aligned with investors’ preferences in more realistic settings. Alpha is a poor measure under both the theoretical and the realistic settings. For investors with typical borrowing constraints, the geometric mean provides an alternative measure that is much better than both the Sharpe ratio and alpha. It may very well be the most important single number to consider in portfolio selection.

$25.00 – Checkout Checkout Added to cart

Next Article: Market Timing: Sin a Little Resolving the Valuation Timing Puzzle

Previous Article: Rethinking the Fundamental Law of Active Management

JOIM

    Library Access

    Subscribe to the Journal
    Submit a Paper
    Harry M. Markowitz Award
    Editorial Board
    Upcoming Conferences

    Edit Profile

Recent Comments

    JOIM

      About the JOIM
    • Library Access
    • Subscribe to the Journal
    • Submit a Paper
    • Editorial Board
    • Harry M. Markowitz Award
    • Reprints & Permissions
    • Advertising
    • Terms and Conditions

    JOIM Conference Series

    • About
    • Upcoming Conferences
    • Membership
    • Board Members
    • Sponsorship Opportunities
    • Terms & Conditions
    Speaker Reimbursement Policy

    Contact

    Journal Of Investment Management (JOIM)
    3658 Mt. Diablo Blvd., Suite 200
    Lafayette, CA 94549
    www.joim.com

    customerservice @ joim.com
    (925) 299-7800

    Copyright 2019 — Journal Of Investment Management design by SEO Web Designers