The most popular portfolio performance measures are the Sharpe ratio and alpha. While the Sharpe ratio is optimal under the 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...

Performance measures such as alpha and the Sharpe ratio are typically based on sample returns net of fees. This implies the same weighing to sample returns and to fees. However, sample return parameters are noisy estimates of true parameters, while fees are known with certainty. Thus, intuition...

Chapter 1: Introduction -- Chapter 2: Criteria for Mutual Fund Selection -- Chapter 3: Investment for Intermediate and Long Horizons -- Chapter 4: Estimating Future Performance – The Shrinkage Adjusted Sharpe Ratio -- Chapter 5: Active Versus Passive Investment -- Chapter 6: Target Date Funds,...