Item Details

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Sampling Properties of Composite Performance Measures and Their Implications

Cheng F. Lee, Son-Nan Chen
Format
Book; Online; EBook
Published
[Urbana, Ill.] : College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, Jan. 18, 1979.
Language
English
Series
Faculty Working Papers
Summary
"The statistical relationship between estimated composite performance measures and their risk proxies are derived in accordance with statistical distribution theory. It is found that the estimated composite performance measures are generally highly correlated with their risk proxies. In general, sample size, investment horizon and the market condition are three important factors in determining the degree of relationship above-mentioned. It is shown that a larger number of historical observation and an appropriate investment horizon can generally be used to reduce the sample correlation between the estimated performance measures and their risk proxy. Sampling distributions for both Sharpe and Treynor measures are also derived."
Description
38 p. : graphs ; 28 cm.
Mode of access: Internet.
Notes
Includes bibliographical references (p. 36-38).
Series Statement
Faculty working papers ; no. 541
Copyright Not EvaluatedCopyright Not Evaluated
Technical Details
  • Staff View

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    a| [Urbana, Ill.] : b| College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, c| Jan. 18, 1979.
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    a| 38 p. : b| graphs ; c| 28 cm.
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    a| Faculty working papers ; v| no. 541
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    a| Includes bibliographical references (p. 36-38).
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    a| "The statistical relationship between estimated composite performance measures and their risk proxies are derived in accordance with statistical distribution theory. It is found that the estimated composite performance measures are generally highly correlated with their risk proxies. In general, sample size, investment horizon and the market condition are three important factors in determining the degree of relationship above-mentioned. It is shown that a larger number of historical observation and an appropriate investment horizon can generally be used to reduce the sample correlation between the estimated performance measures and their risk proxy. Sampling distributions for both Sharpe and Treynor measures are also derived."
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    a| Mode of access: Internet.
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    a| Capital assets pricing model.
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    a| Chen, Son-Nan, e| joint author.
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    a| University of Illinois at Urbana-Champaign. b| College of Commerce and Business Administration.
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