RT Journal Article SR Electronic T1 Generalized Performance Measures: Optimal Overweighing of Fees Relative to Sample Returns JF The Journal of Portfolio Management FD Institutional Investor Journals SP 66 OP 75 DO 10.3905/jpm.2018.44.3.066 VO 44 IS 3 A1 Moshe Levy A1 Richard Roll YR 2018 UL https://pm-research.com/content/44/3/66.abstract AB 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 suggests that fees should be given more weight than sample returns. The authors formalize this intuition, and derive the optimal overweighing of fees. They show that the resulting generalized performance measures are better predictors of future net performance than the standard performance measures, and they better explain future fund flows.TOPICS: Performance measurement, statistical methods