{"id":"https://openalex.org/W1899856963","doi":"https://doi.org/10.2469/faj.v56.n5.2391","title":"Risk-Adjusted Performance: The Correlation Correction","display_name":"Risk-Adjusted Performance: The Correlation Correction","publication_year":2000,"publication_date":"2000-09-01","ids":{"openalex":"https://openalex.org/W1899856963","doi":"https://doi.org/10.2469/faj.v56.n5.2391","mag":"1899856963"},"language":"en","primary_location":{"id":"doi:10.2469/faj.v56.n5.2391","doi":"https://doi.org/10.2469/faj.v56.n5.2391","is_oa":false,"landing_page_url":"https://doi.org/10.2469/faj.v56.n5.2391","pdf_url":null,"source":{"id":"https://openalex.org/S162525099","display_name":"Financial Analysts Journal","issn_l":"0015-198X","issn":["0015-198X","1938-3312"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Financial Analysts Journal","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5013995635","display_name":"Arun S. Muralidhar","orcid":"https://orcid.org/0000-0001-9387-1822","observed_orcids":["https://orcid.org/0000-0001-9387-1822"]},"institutions":[{"id":"https://openalex.org/I4210110280","display_name":"J.P. Morgan","ror":"https://ror.org/01sxmq816","country_code":"GB","type":"other","lineage":["https://openalex.org/I4210110280"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Arun S. Muralidhar","raw_affiliation_strings":["Arun S. Muralidhar is head of currency research at J.P. Morgan Investment Management"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Arun S. Muralidhar is head of currency research at J.P. Morgan Investment Management","institution_ids":["https://openalex.org/I4210110280"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5013995635"],"corresponding_institution_ids":["https://openalex.org/I4210110280"],"apc_list":null,"apc_paid":null,"fwci":1.6142,"has_fulltext":false,"cited_by_count":58,"citation_normalized_percentile":{"value":0.8922959,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":"56","issue":"5","first_page":"63","last_page":"71"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9682999849319458,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9682999849319458,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.023900000378489494,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":0.0032999999821186066,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/risk-adjusted-performance","display_name":"risk-adjusted performance","score":0.9860000014305115},{"id":"https://openalex.org/keywords/sharpe-ratio","display_name":"Sharpe ratio","score":0.8859999775886536},{"id":"https://openalex.org/keywords/information-ratio","display_name":"information ratio","score":0.9909999966621399},{"id":"https://openalex.org/keywords/mutual-fund-performance-evaluation","display_name":"mutual fund performance evaluation","score":0.703000009059906},{"id":"https://openalex.org/keywords/portfolio-construction","display_name":"portfolio construction","score":0.7390000224113464},{"id":"https://openalex.org/keywords/financial-leverage","display_name":"leverage","score":0.5619999766349792},{"id":"https://openalex.org/keywords/portfolio-diversification","display_name":"portfolio diversification","score":0.4339999854564667}],"concepts":[{"id":"https://openalex.org/C139938925","wikidata":"https://www.wikidata.org/wiki/Q1501898","display_name":"Sharpe ratio","level":3,"score":0.833919882774353},{"id":"https://openalex.org/C2777064782","wikidata":"https://www.wikidata.org/wiki/Q791974","display_name":"Mutual fund","level":2,"score":0.7822318077087402},{"id":"https://openalex.org/C103659442","wikidata":"https://www.wikidata.org/wiki/Q1662488","display_name":"Information ratio","level":4,"score":0.719353973865509},{"id":"https://openalex.org/C160471959","wikidata":"https://www.wikidata.org/wiki/Q17082552","display_name":"Mutual fund separation theorem","level":3,"score":0.6254235506057739},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5703862309455872},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5175639986991882},{"id":"https://openalex.org/C2778869765","wikidata":"https://www.wikidata.org/wiki/Q6028363","display_name":"Inefficiency","level":2,"score":0.4878532886505127},{"id":"https://openalex.org/C51485801","wikidata":"https://www.wikidata.org/wiki/Q16966861","display_name":"Efficient frontier","level":3,"score":0.44353169202804565},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.4382566213607788},{"id":"https://openalex.org/C101601086","wikidata":"https://www.wikidata.org/wiki/Q3753228","display_name":"Rank correlation","level":2,"score":0.43752095103263855},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3782671093940735},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3441140651702881},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.28525567054748535},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.21267130970954895},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.14838647842407227},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.08891165256500244}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.2469/faj.v56.n5.2391","doi":"https://doi.org/10.2469/faj.v56.n5.2391","is_oa":false,"landing_page_url":"https://doi.org/10.2469/faj.v56.n5.2391","pdf_url":null,"source":{"id":"https://openalex.org/S162525099","display_name":"Financial Analysts Journal","issn_l":"0015-198X","issn":["0015-198X","1938-3312"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Financial Analysts Journal","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:ufajxx:v:56:y:2000:i:5:p:63-71","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.2469/faj.v56.n5.2391","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":8,"referenced_works":["https://openalex.org/W1939211161","https://openalex.org/W2015856032","https://openalex.org/W2029056003","https://openalex.org/W2081979521","https://openalex.org/W2169659259","https://openalex.org/W2176146775","https://openalex.org/W2321435162","https://openalex.org/W2795413297"],"related_works":["https://openalex.org/W2952243570","https://openalex.org/W2597315646","https://openalex.org/W2093450532","https://openalex.org/W1566977649","https://openalex.org/W7044394408","https://openalex.org/W2014508796","https://openalex.org/W1560623280","https://openalex.org/W3198670943","https://openalex.org/W7018662181","https://openalex.org/W1751726745"],"abstract_inverted_index":{"Current":[0],"measures":[1],"of":[2,58,92,100,109],"risk-adjusted":[3,144],"performance,":[4],"such":[5],"as":[6],"the":[7,10,14,38,56,82,85,107,125,142],"Sharpe":[8],"ratio,":[9,12],"information":[11],"and":[13,51,54,62,87,102],"M-2":[15],"measure,":[16,36],"are":[17],"insufficient":[18],"for":[19,42,65,124],"making":[20],"decisions":[21],"on":[22,106,114],"how":[23],"to":[24,75,137,140],"rank":[25],"mutual":[26,59,88],"funds":[27],"or":[28],"structure":[29,138],"portfolios.":[30],"This":[31,70,120],"article":[32,121],"proposes":[33],"a":[34,49,52],"new":[35],"called":[37],"M-3,":[39],"that":[40,127],"accounts":[41],"differences":[43],"in":[44],"(1)":[45],"standard":[46],"deviations":[47],"between":[48],"portfolio":[50,73],"benchmark":[53],"(2)":[55],"correlations":[57],"fund":[60,110],"portfolios":[61,139],"their":[63],"benchmarks":[64],"an":[66],"investor's":[67],"relative-risk":[68],"target.":[69],"technique":[71],"facilitates":[72],"construction":[74],"optimally":[76],"achieve":[77,141],"investors'":[78],"objectives":[79],"by":[80],"combining":[81],"risk-free":[83],"asset,":[84],"benchmark,":[86],"funds.":[89],"A":[90],"form":[91],"three-fund":[93],"separation,":[94],"this":[95],"paradigm":[96],"provides":[97,122],"optimal":[98],"mixes":[99],"active":[101],"passive":[103],"management":[104],"based":[105],"ability":[108],"managers":[111],"rather":[112],"than":[113],"individual":[115],"biases":[116],"about":[117],"market":[118],"inefficiency.":[119],"support":[123],"claim":[126],"leverage":[128],"may":[129],"not":[130],"be":[131],"bad":[132],"if":[133],"it":[134],"is":[135],"used":[136],"highest":[143],"performance.":[145]},"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2025,"cited_by_count":9},{"year":2023,"cited_by_count":3},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":3}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
