search query: @author Leland, H. E. / total: 8
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| Author: | Leland, H. E. |
| Title: | Beyond mean - variance: Performance measurement in a nonsymmetrical world |
| Journal: | Financial Analysts' Journal
1999 : JAN/FEB, VOL. 55:1, p. 27-36 |
| Index terms: | Performance measurement Capital Assets Pricing Models |
| Language: | eng |
| Abstract: | The capital asset pricing model (CAPM) is used by most practitioners to measure investment performance. The CAPM, however, uses assumptions that are suspect. Assuming only that the rate of return on the market portfolio is independently and identically distributed and that markets are "perfect," it is shown in this article that the CAPM and its risk measures are invalid: The market portfolio is mean-variance inefficient, and the CAPM alpha mismeasures the value added by investment managers. |
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