Sampling properties of composite performance measures and their implications
By: Cheng F. Lee, Son-Nan Chen
Contributors: Chen, Son-Nan, joint author; University of Illinois at Urbana-Champaign. College of Commerce and Business Administration
Series: Faculty working papers -- no. 541; Faculty working papers -- no. 541.
Publisher: College of Commerce and Business Administration, University of Illinois at Urbana-Champaign
Published: 1979
Place of publication: [Urbana, Ill.]
Language: eng
Number of pages: 38
Subjects: Capital assets pricing model
Description: "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."
Notes: Includes bibliographical references (p. 36-38).