Performance Measures and Mean-Variance Efficiency

Woongki Lee
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Woongki Lee: Yonsei University

No athw7_v1, SocArXiv from Center for Open Science

Abstract: While portfolio performance and pricing performance are often treated as separate domains, both rest on the same foundation: mean-variance efficiency. This study makes that connection explicit by examining 11 performance measures drawn from these two domains. We show that these measures share a common basis in the Sharpe ratio, the standard measure of mean-variance efficiency, and can therefore be interpreted within a unified framework. Building on this result, we derive two compact benchmark-relative metrics, the ratio metric and the gap metric, and illustrate their practical relevance using data from the Korean fund industry.

Date: 2026-08-10
New Economics Papers: this item is included in nep-eff
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Persistent link: https://EconPapers.repec.org/RePEc:osf:socarx:athw7_v1

DOI: 10.31235/osf.io/athw7_v1

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